They don't need to be, but they can be. They will melt if they're stored in a warm place so the fridge can help prevent that, however, if you do choose to refrigerate or freeze them, when you are ready to eat them, just be aware they will sweat as they sit at room temperature. They will still taste great, but if you're serving them for your Kentucky Derby party or other gatherings, just let them sit at room temperature for a bit before serving.