Actually, yes it DOES support the E8400 out of the box. All the new shipments come with the newer bios version. I built a system with this motherboard, GA-P35-DS3L, one last December and one at the end of January. I ended up getting the E8400 for both systems, one was mine and one for my dad. The board I received last December from Newegg.com would boot with the E8400 but Windows would not install until I updated the BIOS. The board I received in January (after the E8400 came out) shipped with the F6 BIOS and everything worked perfectly. Vista installed in ten minutes, 3Dmark06 score of 12,500. There's no reason to even consider updating the bios when everything works perfectly. F8a version gives "official" support for the Wolfdale, but it's not necessary. If it ain't broke, don't fix it.
Btw... this board is amazing. Even with the stock Intel cooler, it took me less than 15 seconds to overclock to 3.4GHz although I could go alot higher with a better aftermarket HSF.