Right, they can choose to stay in the minors or go to free agency. Mikey Huckaby (I didn't know you could be heavy in politics and play professional baseball) chose to play instead of "test the waters" of free agency. From the FAQ...
"Once his options are gone, he must go through waivers before he may be demoted or removed from the 40-man roster. Once a player has 6 years of big league experience, options are meaningless because he can opt for free-agency rather than accept a trip to the minors."