It is possible to store cocktail sauce without horseradish! Put a small amount of the sauce in an airtight container or container prior to putting it into the freezer. It is also possible to put the sauce in the form of an ice cube tray to ensure quick access. When you're ready for enjoying your cocktail, allow the sauce to cool in the fridge for a few hours. The cocktail sauce will last about 6 to 7 months in the fridge.