It depends on how you're using them. I would say that most of the time you would NOT want it in the parantheses.\n\nFor example:\nDo you like the show Crime Scene Investigation (CSI)?\nOne of the most popular TV shows is CSI (don't you love that show?).\n\n\nI'm wondering if you meant to ask about punctuation in quotation marks??  If this is the case, the proper use is different between the US and UK/Canada.  In the US, the punctuation always goes inside the quotation marks.  Outside of the US, there are a number of rules around that.  See the link below for more details.
Should punctuation marks always be inside parantheses?