I do this all the time. It's better frozen. For one thing, bananas don't stay that long out in the open, so freezing them is a good idea unless you eat them all the time. I only throw half of one in per shake, so not freezing them would waste half of a banana all the time.
When frozen, they are mushy, and the blender will have no problem blending them. Also, they make the shake colder when frozen, which is always a good thing in my book. I keep frozen and bananas and just toss them in there.