When someone recommends that you 'choke down' on a club, that means, they want you hold the in such a way that the club plays shorter. There's a couple reasons why you'd want to do this in certain scenarios.
You can choke down on all of your golf clubs if you wish. Some golfers may need to do this because the clubs are too long for them but I'd recommend making sure your clubs are custom fit to you so you don't have to.
Another reason you'd choke down on your club is for better control with the club itself. Sometimes, your 7 iron might be a little too long but your 8 iron might be a little short so you have the option to choke down on a 7 iron to split the difference.
If you're around the green and need a lower lofted club to bump the ball, you can choke the club down until you reach the shaft for better control. If you haven't seen my video on club selection from the fringe, check it out!
Click this video to learn how to properly choke down on the golf club.