I don't refrigerate mine, as I have the multi-dose vial with preservative. There is another type without preservative; I'm not certain if you have to refrigerate it before use, but I do know that once you've punctured the rubber seal, you throw the rest out.
If you've got the multi-dose vial like me, you don't have to keep it cold. Just make sure you wipe the rubber top with alcohol before and after you draw from it.
I can say that I did not have to keep mine in the refrigerator but check with your pharmacist to be sure.