Dont bother, I did it recently and it had no effect. Some people say it does, others dont. You would probably want it on there for about 24hours to get a good burn-in. Run prime95 torture. Some say underclock the cpu and raise your volts really high (2.1vcore). Others perfer a small overclock in the first place w/ a burn in. I've seen seen people just loop 3dmark01 at stock. What ever floats your boat, What ever drives your car you know?
Personally I wont ever do it again, It's just a waste of time imho; I got no extra benifits from burning in my m 2500+.
The actual "burning in" myth of raising your volts and all of that to get better overclocks I believe is a myth. However, burning in, in a sense of stress/stability testing is, obviously, not a myth.
I "burn in" all of my systems in the sense that I let Prime95/3DMark run for a few days, sometimes at a slightly higher voltage to keep an eye on temps in case it starts running hotter over time (ie, dust build up, thermal paste not being as effective, etc).