The short answer is that it depends on how you overclock.
If you overclock by changing the turbo speeds and keep all of intel's power saving features on, then yes, it should ramp down to an idle speed and then gear up when you ask more of it.
If you overclock the old-school way that a lot of us prefer, it involves turning off power saving and speed step, disabling turbo, and directly changing the CPU multiplier, which will result in a CPU that runs at the speed you set it all the time.
The C states are various low-power sleep modes - you shouldn't have to worry about them for overclocking.