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I always chill mine. It just helps hold everything together. If I'm in a hurry, I'll throw it in the freezer for 30 minutes or so, but over night in the fridge is probably best.
Ned is spot on. If you roll the fatty and try to put it on right away, it will kind of spread out a bit, and could totally fall apart if you didn't get a really tight roll up on it. They definitely hold their size a lot better when setting in the fridge overnight smushed together in some plastic wrap.
I have only done one but I left it in the fridge overnight and it was awesome. In case you haven't yet, check out the fatty sticky it was a huge help. There was also a tutorial on bacon wrapping I found that was a huge help. Here are the links:
The sticky was a huge help for rolling the fattie. I actually used the cowgirlscountry link to do the flat weave. I wrapped it tight in plastic and set it in the fridge overnight.
It's in the smoker now and will post a pic when it comes out.