Chicago Style has two distinct formats for citing sources. Ask your instructor which format you should use:
The Notes-Bibliography system is used in humanites subjects (including literature, history and the arts), and uses either footnotes or endnotes and a Bibliography.
The Author-Date system is generally used in the physical, natural and social sciences. It uses parenthetical citations in-text, with a Reference List at the end of the paper.
For either system, you must include all sources used in your research.