For initial start-up, the main things to worry about are oil pressure, temperature and RPM. If you have a way to pre-lube the engine -- do so. Verify you have oil pressure. I ALWAYS use a gauge even on cars that aren't equipped with one. This will allow you to catch a serious problem before actually starting the engine. If that checks out OK then you should be ready to fire it. Assuming that you have a flat tappet cam, once the engine is started you will need to run it at 2000-2500RPM for 20 minutes. (**Note: Be sure to use a break-in additive. Comp Cams put out a bulletin suggesting the use of Shell Rotella oil for break-in. I found it at AutoZone in the gallon jugs**.) Keep an eye on the temperature to avoid an overheat situation. It is normal to see a slightly elevated running temperature since it is a new, tight engine in a stationary position. A good fan in front of the radiator wouldn't hurt either. At this point I usually shut it down and let it cool off. Check for leaks and any wires or hosed that may need to be rerouted. If everything looks OK fire it up again and double-check the timing. You should be ready to take it for a spin around the neighborhood. If the first trip was problem free, Change the oil.
For the first couple hundred miles it is important not to run at the same RPM for sustained periods -- vary your speeds. I have also been told that deceleration, which induces a high vacuum condition, helps seat the rings. Check your fluid levels often and don't do any hard driving. Change the oil again at 500 miles.
There is no such thing as being too cautious with your new investment. Good luck!