If they were indoors, in a greenhouse, or in the shade at the nursery, then yes, you need to ease them out into the full sun gradually. If you don't know for sure, I'd do it anyway. Better safe than sorry. Start with an hour or two of morning sun, and increase for about a week. Depends upon the temperature, too - if you have a cloudy or rainy day they can go out and enjoy that.
The nursery plants I bought for my daughter's garden in Salt Lake City a week ago had been outdoors, and in full sun so we didn't need to fuss with them.
