I didn't and it worked just fine. I'm usually one who recommends preheating the air fryer to start the searing process on meat right away, but since it's frozen that wasn't going to happen anyway, so it's fine to skip the preheat. If you do want to preheat your air fryer, your timing might be slightly less. I also think there is another advantage to starting off with a cold air fryer and that is to prevent the grey bands from forming just under the crust. This happens when the outer part of the meat overcooks before the inside gets to the temperature you like. I found that using this air fryer technique with a frozen steak developed a perfect crust without overcooking the meat just under the crust.