For this recipe, you don't have to soak the sprouts in cold water prior to cooking. Soaking Brussels sprouts before cooking helps to prevent them from burning, and also helps cut some of the bitter flavor that's naturally in the sprouts. A touch of salt in the water can also help with this. But for this recipe, they're not in the air fryer long enough to worry about burning. We are going for a little caramelization on the leaves, though. You can stop or extend the cooking process depending on your preference here.