You'll want to use the puff pastry when it's defrosted but still quite cold. This tends to take about 45 minutes at cool room temperature, or you can leave it in the fridge overnight to defrost. The flaky layers are created by the thin, intact pockets of butter in the dough, which release steam in a hot oven. In order for this to work properly, they need to be kept cold, so they don't melt away into the dough.