The purpose of doing this is to keep the brush from drying out. I've tried this process both in and out of the refrigerator, and both seem to work just fine over a short period of time. If you're storing the brush overnight, it doesn't necessarily have to go in the refrigerator; just find a cool place that's out of the way.
"If you're like me and your boots always end up damp or freezing after being outside, try this: Stuff your boots with crumpled newspaper or paper towels when you come inside."