You can try it either way.
One thing I tend to do is leave it in the freezer for a day or so, take it out long enough to hit it with a good dose of penetrating oil, and sock it back in the freezer.
I've gotten a lot of gunked up, rusted, or otherwise stuck parts loose like that over the years, and not just on guns.
I gave the freezer to the original 1903ish cast iron porch lamp on my Mom's house. I was afraid that if I put any stress on the screws they might shear off.
Two days in the freezer with regulard doses of WD-40 and the screws just slid out.
"The gift which I am sending you is called a dog, and is in fact the most precious and valuable possession of mankind" -Theodorus Gaza
Baby Jesus cries when the fat redneck doesn't have military-grade firepower.