Generally it's better to install with everything at stock to make sure that nothing will get screwed up due to system instabilities. However, if you install while running a stable overclock, there won't be any problems. I installed Vista x64 on my current machine while overclocked to 3.4GHz, and I never had an issue.
I overclock and test the hardware first on a spare drive with a bare O/S install. When the overclock is completely validated and 100% stable under 100% load then I swap drives and do a complete install of the O/S.