If you're working with lat/long point data, I would recommend projecting the map, and then projecting the point data (using the exact same parameters as were used to project the map). You could work with unprojected lat/long values, but having the code in place to apply any projection you want really adds a lot of flexibility (and is the best-practice way to go).
Here's an example:
data my_map; set mapsgfk.brazil (where=(density<=3) drop=x y resolution); run;
proc gproject data=my_map out=my_map latlong eastlong degrees parmout=projparm; id id; run;
data point_data; input lat long; datalines; -11.3994052 -41.2813161 -9.0266125 -38.4466716 ; run;
proc gproject data=point_data out=point_data latlong eastlong degrees parmin=projparm parmentry=my_map; id; run;
data anno_point_data; set point_data; xsys='2'; ysys='2'; hsys='3'; when='a'; function='pie'; style='psolid'; rotate=360; size=1; color='red'; run;
pattern1 v=s c=white;
title "Brazil, with annotated lat/long point data"; proc gmap map=my_map data=my_map anno=anno_point_data; id id; choro segment / levels=1 nolegend coutline=gray77; run;
... View more