To answer your question, you should store the wrench at the lowest setting listed. For example, let's say your torque wrench has settings from 40-150lb/ft. To store, you should place it on its 40lb/ft setting.
Yes, it would technically relieve the most spring pressure, but I am honestly not real sure why the standard procedure is to only go to the lowest setting. I will look into it, but my honest guess is that by only going to the lowest setting, you're not loosening the assembly too much and risking it coming apart internally. Mostly, however, the reason for storing it at its lowest setting is just an easy value to tell people to set it at- so that you don't tend to leave it on whatever value you happened to be using at the time. I don't know the fatigue rates of springs and how long they take to eventually "set in", but I would assume this could be comparable to the gun world and the fact that if magazines are left filled with ammunition over years and years, the compressed spring will eventually set in and lose its spring rate, thereby causing problems with reliable feeding. Going back to the torque wrench world, this "set-in" spring would obviously affect accuracy.
A little offtopic, but an FYI to anyone looking at buying a torque wrench- around Christmas time Craftsman had their Microtork torque wrenches (cheaper line) on sale for around $40, so I figured I might as well give them a try. I bought both a 3/8- and 1/2-inch drive, and when I checked the calibration, they were actually very excellent. They were both well within the 4% range...right along with the Snap-on and others which cost ALOT more.