Task are scheduled to the ThreadPool, meaning that they are essentially threads¹ (actually, they encapsulate threads).
From the Thread documentation:
It is not necessary to retain a
reference to a Thread object once you
have started the thread. The thread
continues to execute until the thread
procedure is complete.
So, no, there is no need to retain a reference to it.
Also, the documentation states that the preferred way to create a Task is to use it's factory:
You can also use the StartNew method
to create and start a task in one
operation. This is the preferred way
to create and start tasks if creation
and scheduling do not have to be
separated (...)
Hope it helps.
¹ Accordingly to the documentation:
A task represents an asynchronous
operation, and in some ways it
resembles the creation of a new thread
or ThreadPool work item, but at a
higher level of abstraction.