i think it depends on what kind of package you are working with. In skeins you CAN leave it if you prefer, though i always seem to end up winding them up into new balls after pulling out the center to find the end of the string.
if they are in hanks like this
then you have to wind them into a ball of some sort or you will end up with a knot. when you wind it you will want an extra set of hands, chair back, yarn swift
, something to hold the yarn so it won't knot up.