You'll be happy to know that you can do either. I am not fast with my sculpture work at all, the only reason I would bake is when I am happy with where I have something and it's like a save point. With sculpey it doesn't dry out right away, but it will over time if you let it sit for months and months. That's when you'll notice it'll start cracking and you have to play with it to make it smooth and pliable again, but the sculpture or project could be ruined because once there are cracks they are they to stay unless you remove that piece with something fresh. I had that happen with my Grimmjow sculpture actually. Even covering it with a layer of sculpey wouldn't help the crack, it would crack through the "patch".
So in summary, you can leave it out
Just not too too long, and keep it in a ziploc if you can to keep air away from it.