Yes, you should always make sure to warm up before exercising. During the challenge workouts, I always choose a move that warms up your entire body to start the circuit, so you won't really have to worry about this while doing the challenge workouts.
You don’t ever want to stretch cold muscles, so choose dynamic (moving) stretches, such as arm or leg circles before you exercise.
After you workout, you want to bring your heart rate down slowly, and then stretch out your muscles. There are a variety of ways to stretch.
You don't have to stretch for a specific length of time, the way I do it is to feel my body and notice the amount of stretch. I take the stretch to what for me is "7" on a 1-10 scale, where 7 is a "good hurt" and 8 is an "ow." I never stretch to "ow" :) As the stretch progresses, the quality should go down to about a 5. Then I stop the stretch.
Hope this helps!