Sopranos in Chicago?

I have a highly non-academic question for you. Actually, I guess it sort of relates, because it happened at the meeting of the Society for American Music almost two years ago, the one in Chicago. Does anyone else remember that the entire male cast of The Sopranos was also staying at the hotel? I remember sitting in the bar, seeing Tony Soprano, and absently thinking to myself, "oh, better be careful, Tony's here." And then realizing that it was actually James Gandolfini, not the actual Tony Soprano, and probably he's very nice. Being a Los Angeleno at the time, I took a cell phone picture of the occasion. I emailed it to Defamer's PrivacyWatch, but they apparently typically only publish items about sightings in LA.
You can't see it, but also there were all of the actors who play the Jersey mob: Steve Van Zandt, Michael Imperioli, Steve Schirripa. Actually, I don't know if Paulie was there, don't remember seeing him. They were there only briefly, and then the next morning I saw them all checking out.

This took place during the hiatus between the first and the second halves of the least season. At the time, I assumed that clearly they were filming on location--why else would this very specific group of actors be hanging out in a random Chicago hotel? All season long I kept telling people that at some point there had to be some action in Chicago.

But then I forgot about, and now I can't remember. Did The Sopranos ever go to Chicago? I really don't think so, but then why were they all cloistered at the Chicago Hilton in the middle of March?