Yes, do make sure your poinsettia is well wrapped against the cold when you bring it back from the store, but don’t leave it in its packaging. Source: http://www.alphapackaging.co.uk

If there is normally no problem leaving plants purchased for Christmas in their wrapping for 4 or 5 days, that’s not the case with the popular Christmas plant known as the poinsettia (Euphorbia pulcherrima), often offered as a hostess gift during the holiday season. This plant produces ethylene, a toxic gas, and begins to poison itself in as little as 16 hours if there is no or little air circulation, especially at warm temperatures (over 60˚ F/16˚ C).

Bracts and leaves can be damaged if left wrapped too long. Source: http://www.hydro-orchids.com

The main symptom of ethylene damage is wilting. When you remove the wrapping, the bracts and leaves look wilted even though the potting mix seems reasonably moist. Soon bracts and leaves start to fall off and the plant, although it is not yet dead, is no longer very presentable.  

If you plan to offer a poinsettia as a gift, either buy it the same day you plan to give it or, if you have to buy it in advance, unwrap it immediately when you get home, then rewrap it just before you leave.