No, you do not have to go directly into the the theatre. The reason that is said is because many times, the tickets are not sold to the line until just before show time. I've done the line 4 times. On one occasion, my friend and I got tickets to an added matinee. They were sold to us at 11:30 am, for a 2pm show. We were free to leave the line and do whatever we liked until around 1:30. Other times, we haven't been sold tickets til anywhere from an 1 prior, all the way down to 5 minutes before the performance. It can vary greatly and there are many factors.