Once wood pellets are delivered to your home, it is your responsibility to make sure they will be suitable for the heating season. Wood pellets should be moved as little as possible because when they rub together they start to disintegrate and create dust (fines). So wherever they are stored should be their final resting place until you bring them into your home to feed into your stove.
The ideal location for your wood pellets is in a garage or dry basement. Keep the bags on pallets or somehow raised up off the floor and away from any potential source of leaks or source of evaporation through the floor. This ensures that the wood pellets are not exposed to a significant amount of water. Water is the enemy of wood pellets as they will clump up and turn to wood dust (fines). If you have a smooth floor, you can even invest in your own pallet jack to easily move the pallets of pellets around for easy access and maximum storage.
While wood pellets are wrapped in a large bag and sometimes wrapped again in stretch film, these are not guaranteed to to keep the wood pellets completely dry. If wood pellets must be stored outside, it is best if they are kept under a roof of some kind, like a carport or barn. Again, it is critical to keep the bags raised up off the ground and wrapped in plastic or tarps if possible. Some consumers reuse last seasons' pallets and layer their new pallets on top gain a few extra inches. This way, the pallets of pellets are raised out of the majority of snow that might. When it is time to unpack the bags of pellets, take care to re-cover the pallet well so water and snow are not channeled inside the plastic covering.