You can absolutely setup your checkout to skip the shipping step for your orders. There are a few ways you can do this, depending on the checkout experience you want to create.
If your products are digital and delivered to your customers through email or online you can set those products as "Not requiring shipping" in their product details. If you have a large amount of products you want to update you can do so using the Bulk Editor in your store.
If you are using Buy Online Pick Up in Store (BOPIS) and don't want customers to see shipping options at the checkout there is an alternative way of setting that up. You would want to go to your Shipping rates, edit your rates, and leave the shipping zones but delete any shipping rates at the checkout. So long as you have the Shopify BOPIS function setup this will ensure customers only see pickup in store at the checkout.
Let me know if you need more details about either of these steps!