The pecans that you bring home from the store should be stored either in the refrigerator or in the freezer depending on when you are planning on using them. If you plan on using your pecans in the next day or two after you purchase them, you can safely keep them in the refrigerator.
If you plan on keeping your pecans around for longer then it is highly recommended that you keep them in the freezer. Pecans or any other nuts for that matter should never be stored at room temperature because of the fact that they tend to go rancid very quickly this way. It will be important for you to keep your pecans in the fridge until you are ready to use them so they will keep for as long as possible.