For a long time it was considered good practice to "burn in" a computer when overclocking to improve stability. I have never found it nessisary to do this. Just go ahead and start playing with your computer. It is a good idea, however, (IMHO) to go and get a program like 3dMark or Sisoft Sandra and benchmark your system pretty heavily for a little while. This will help make sure that none of your new hardware has any hidden defects (like an IDE controller that corrupts data). Anyhow, good luck.
Max: "It seems these evil men will never begin to understand our peaceful nature."
Sam: "Hope they figure it out pretty quick. My trigger finger is blistering."
-- Sam & Max, the Freelance Police