If you're worried about safety, run it on an isolation transformer. Failing that, yes! Remove the "death cap" (or snip one lead and leave there so it looks right). Ground loops can be solved with isolation transformers, if necessary. Otherwise, I've never bothered unless it was a matter of replacing the cord because it was lost (find one of those 2 prong tube amp cords new LOL)
If you convert to 3 pin power, use 18/3 or larger. Like Lingwendil said, an IEC socket is awesome if you can fit it because they cost $1 and you can find the power cord in the garbage.
If you go "captive" like Eli suggests, make sure you use one of those cable locking things or at the least use a grommet for the hole, and tie a knot in the power cable inside the amp so it won't rip out if it's tripped over. Seriously though, when was the last time you have to reseat the power cable on anything to make it work again? My Kettle uses an IEC connection and it's a 15A load (even though the standard is only good to 10A IIRC).