No. You can deposit EFT payments at any time. When you choose to create the file, Theatre Manager will automatically include all the EFT payments that have not been previously submitted for transfer.
Keep in mind that there are limitations to past and future-dated transfers. If the EFT payment falls out of the date range restrictions set by the bank when the EFT transaction is processed, it will be rejected by the bank. Your bank will notify you of such rejections.