Yep ... shower cap or plastic grocery bag.
And when you get the saddle, you'll discover that it is very hard and very slippery. It should remain hard for the rest of its life, but the slippery feeling should go away after a week or so.
If you really aren't comfortable after your first few rides, try tilting the nose of the saddle up. I know that might not sound right, but most Brooks riders have the nose of their saddles tilted up. It's more comfortable that way because it forces you back onto your sitbones.
And don't fall into the trap of doing all sorts of weird things to your saddle to break it in. It may take some time to break the saddle in but if you are struggling a bit to break yours in, there is something you can do to speed the process a bit ... without baking, or hitting, or doing any of the strange stuff people do to their Brooks saddles.