My first step into serious overclocking and cooling was with a P-4 2.66 here is a pic of my everday clock. I benched as high ast 3350mhz with it. I employed liquid cooling, Eheim pump[ Innovatek water block and a Maxxpert rad. Along with a homemade res.
I used an Abit IT7 Max2 Ver.2 mobo, Kingwin 450watt psu. 1 gig = 2x512megs of OCZ 3700 mem. It was a sweet setup
1.575 is a perfectly safe voltage. Mine is running at 160FSB with 1.65v, and other than the heat, it doesn't show any problems. (It just doesn't seem to like running that clock at any less voltage.)
The maximum voltage for a P4 is somewhere around 1.7. Higher than that and you're taking a risk. Some seem to be able to go upwards of 1.8, some get fried at 1.725.
Anyways, back to your question. Should you lower the voltage? Only if you want to.