No, I dont think its nessecary at all. I didn't break my 3500+ in. i had it running high processor class stuff straight off.
Its a chip, and so shouldn't need breaking in
You'll end up doing a full re-install of windows (if you have XP) anyway since it won't work without that, and so, all the drivers and that will work perfectly with it straight away.
So no worries
As long as its cool, and stuff, no problems should occur. If it did start going funny after high CPU usage, you know somethings up