No - if you don't like the 'look' of them, you can brush them off. I found some yesterday on my lawn, too. They don't do any harm unless you get a 'fairy ring'.

Twisting them off and putting in a plastic bag is quite a good idea - some spread by spores emitted from beneath the gills, so pulling them off when they appear prevents spore dispersal. They'll disappear once the weather conditions change - they like damp, cool weather, so autumn is a great time for them to show themselves.