Depends on the engine. I'd never bother fitting new lifters to an old CVH cam for example - the worn cam lobes would wreck the new lifters in minutes and you'd be back where you started.

Where I've fitted them as a it I've always done as Tabetha suggests above. Use the lube supplied and then sustained RPM between 2500 and 3000 for about 20 minutues, and never let it drop to idle until the 20 minutes is up.