From Elizabeth LaBau,
Your Guide to Candy.
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Spun sugar is best used immediately after it is made, as the sugar starts to liquefy if it comes into contact with anything moist or humid. If you are using it on top of a dessert, wait to position it until the last possible moment. This croquembouche has been decorated with a spun sugar halo and ribbon, but the moisture in the cream puffs dictates that it should be served almost immediately before the sugar starts to turn into caramel!

If you want to attempt to store it, place it in a dry, airtight Tupperware container, preferably with several packages of desiccants, like those found in vitamin bottles.