Wheels can generally be run right out of the box, however...

1) Make sure the wheels came with rim tape (at least if you're running tires with tubes). Even if they come with plastic strips, I'd replace it with cloth tape like Velox.

2) People who want the wheels to last a long time will check the spoke tension and correct it if needed. This is more important than true, and attempting to true a new pair of wheels without taking tension into account can actually reduce the expected wheel life.

3) If they look horribly out of true, they probably got damaged in shipping and could have a shortened lifespan even if trued. I'd ask for a replacement if that happens, although wheels are usually shipped in a way that makes this unlikely.