Loaded question, everyone's answer will be different.
Questions to ask yourself:
What do you value your current livestock at?
What are the costs associated with setting up a quarantine tank for the shrimp?
Are the water parameters vastly different from the store tank and your tank?
Best practice would be to quarantine.
Worst would be to just dump them in.
In between is what most would do, buying from a reputable source is a huge key in reducing potential risk.
I do not quarantine, and I've been burned before with a mass wipe out from a nasty bacteria / fungus.