Keep orange roughy cool on the trip from the market to your house. Never let it stay unrefrigerated for long. To store orange roughy, remove packaging, rinse the fish under cold water, and pat dry with paper towels. Fish deteriorates when it sits in its own juices, so place it on a cake rack in a shallow pan filled with crushed ice. Cover with cling wrap or foil and set in the coldest part of the refrigerator. Orange roughy will store well this way for up to two days. Frozen orange roughy keeps for two months in a refrigerator freezer compartment and three to four months in a deep-freeze. Cook frozen fillets without defrosting them.