if you would exploit the plyss properties of the strain you have to add both antibiotcs because the plyss carryng one addictional vector eg pLysS, which carries the gene encoding T7 lysozyme. T7 lysozyme lowers the background expression level of target genes under the control of the T7 promoter and you need to add chloroanfenicol during all the steps (trasformation, growth, competent cells propagation) to mantain this vector.
For the BL21(DE3)pLysS host strain, the overnight culture must contain chloramphenicol at a final concentration of 50 μg/ml in addition to the antibiotic required to maintain the expression plasmid to induce protein expression.
Chlorampenicol serves to maintain the pACYC-based plasmid carrying a T7 lysozyme gene derivative. However, in transformation process you only aim to select positive colony, so I think it is not necessary to include Chlorampenicol in this step. Please find the needed information from the source I attached (pages 5-7). Good luck for your assays!
If you are using BL21 pLysS I guess you have some interest in the presence of the pLysS plasmid during the culture process of transformants. As Cm resistance is the marker of this plasmid you should include Cm at any stage of the transformation/expression process.