It is strongly recommended to wind a skein into a ball (or "cake") just before using it, rather than upon receipt, unless you plan to knit immediately. Keeping the yarn in a skein prevents it from stretching, preserves its original shape, and prevents unwanted knots from forming during storage.
Why wait? The tension of the yarn can be altered if it is kept in a ball for too long.
Tip: To avoid ending up with a ball that loses its shape, don't wind the yarn too tightly. Use an umbrella (yarn winder) with a ball winder to make a ball.