Yes, frozen puff pastry needs to be thawed before baking. There will be directions on the package on how to thaw. Many will recommend thawing the puff pastry in the fridge overnight as this allows the pastry to become pliable without softening too much.  Alternatively, you can thaw unwrapped frozen puff pastry at room temperature for approximately 40 minutes to allow to it become pliable and ready to use. According to the Pepperidge Farm website, you can also thaw frozen puff pastry in the microwave. To do so, wrap pastry in paper towel and microwave on HIGH for 15 seconds, then turn it over and microwave for another 15 seconds. If it doesn't unfold easily, microwave for another 5 seconds on each side.