Yes, you should leave your empty cylinders in a safe location that the SodaStream delivery driver can easily access. This location can be specified at the time of order if it is not obvious, or physically handed over to the delivery driver.
We recommend packing your empty cylinders in a box for collection if you have one, however you do not need to pack your empty cylinders in any form of packaging if you do not have anything suitable on hand, simply leave the empty cylinders out loose for collection.