This should be your first stop.
HOWTO: Overclock C2Q (Quads) and C2D (Duals) - Guide v1.6.1http://www.tomshardware.com/forum/240001-29-howto-overclock-quads-duals-guide
Next stop should be a guide for your particular motherboard. Google is your friend.
Shadow's Gigabyte motherboard OC guide:http://www.tomshardware.co.uk/forum/page-245679_11_0.html
It's for an EP35-DS3L but all theGigabyte Core2 BIOS's are similar.
For a serious overclock, you will need better cooling. Here are three under $50 heatsinks that are pretty popular:
Xigmatec Dark Knighthttp://www.newegg.com/Product/Product.aspx?Item=N82E16835233029
I've added this one, because it is starting to get really popular:
COOLER MASTER Hyper 212 Plushttp://www.newegg.com/Product/Product.aspx?Item=N82E16835103065
They all require a somewhat different approach to applying thermal compound.
Suggestions for applying thermal compound:http://benchmarkreviews.com/index.php?option=com_content&task=view&id=170&Itemid=1&limit=1&limitstart=5