I've never really bought a separate processor nor swapped one.
But I think the BIOS is just for the motherboard, you need to have the right one though.
And as long the processor is supported by the motherboard it should just work, since the BIOS etc. would also be compatible with it.
For the physical acts, just read the manual and be careful and precise just to be sure.
Also, if by "squeezing out a little more" you mean overclocking, don't.
I've been made really clear that it will just make your processor unstable and it will have a shorter lifespan etc.
It's just a waste to do that to a nice new processor and not recommended.
But I guess the results of it of course depend on how much you overclock.
If you really have to, be sure to have really good and smooth cooling.
But that will again cost you a lot of tens extra.
About cooling, I recommend the ZM-STG1 by Zalman: http://zalman.co.kr/eng/product/view.asp?idx=198
It is really easy to apply with the brush and it's thin, even though some people say both of those things are negative things.
It's really much handier to kind of "paint" it on very precise rather than using one of those tubes and a card or knife or whatever.
And the performance I find very well, I have it between a Pentium 4 HT 3GHz+ and a Zalman CNPS7000B-Cu
It keeps the processor around 50 degrees Celsius depending on the rest of your system's cooling of course.
I think the temperature also dropped versus the previous Cooler Master paste I used.
It seems to work well anyways.
Another obvious good one would be the Arctic Silver 5 or maybe another one by Arctic Silver.
Just be sure you don't get one of their glue kinds of pastes, or your cooler will be permanently stuck to your processor.
It also might be a bit more expensive, I'm not sure, but the STG1 seems to last a lot longer, I guess because it's thinner.
Just throwing out some of my personal experience and thoughts.
- Damage Inc.