Great stuff.. The only thing that kind of suck's about the wallet is the amount of time it takes to get 100% synced up.. I wanna say the transaction sync file is like 5gb. I've read that you can download from piratesbay a complete torrent file of the sync. That would cut you time way down..
You don't have to sync the blockchain before a wallet goes into cold storage. The wallet and blockchain are completely separate.
If you meant when you're spending money from a wallet, then yes, you do need to have a synchronized blockchain, but if you already have a synchronized blockchain database, you can use that with your cold wallet when you're ready to spend from it.