How well will it work? (my first rig)

Well you should have asked the community first before you bought those components. I would've went with the 2500K or the 2400 with a Maximus Gene-Z or the ASRock Extreme3. It will work once put together (if you do it right). TF2 is more of a CPU based game rather than GPU based so you will get good performance in TF2 and L4D2- also mostly CPU based. BF3 and Skyrim is where you would fall behind in on max settings. But lowering the details and settings should give you fairly good performance.
Yes you WILL need to get a CD/DVD drive to install Windows 7 once your system boots up. For the PSU, look at how much power will be drawn and get any Seasonic, XFX, Corsair PSU (or any other quality brand PSU) with a 80+ Bronze, Silver, Gold (Platinum??) stamp.

 

Thats exactly what I was thinking I would be seeing.

Well it seems as If I didn't get too much wrong as I wasn't exactly looking to max out skyrim/bf3... but so long as they are playable (constant 30+ fps) I'm happy. Now that I see all I need to replace is my PSU and dvd drive I'm totally fine with that, considering my case and CPU wont be getting here for a week or so because I ordered them from amazon (all of my other part will come from newegg and will be here tomorrow)
Also do you know roughly what kind of wattage in a PSU I should look for? ( I did a wattage calc on newegg the day after and saw I was 6 watts over my PSU rating) will 500 watts be ok?

The PSU will suffice for that build.

WOAH! Don't overkill the PSU and like the guy above me said, the current PSU will be fine. The most important thing in a build is to get a suffice PSU (imo). Don't push it to the max but don't get so much headroom. 430w is fine for that build.

  I think I will go higher on regardless (just for some headroom).

Should I test it, if it works keep it or just send it away as soon as I get it?

Also, If I ordered the wrong part can I ship it back to newegg for a full refund?

The reason I think I will need more wattage is because my GPU is overclocked...

500w is still a little high for a GPU and CPU OC. However, I guess it's future proof and it's really your preference. I think you should just keep the 430w PSU because it will still be enough for a GPU and CPU OC. But if you really want a 500w PSU, go ahead, it's not a huge overkill and it will probably run fine (if it's a quality PSU).
For Newegg's return policy, read this: http://www.newegg.com/HelpInfo/ReturnPolicy.aspx

I learned not too long ago that you should stay away from Thermaltake PSU's. You should shoot for better brand names such as;

Antec
Corsair
Silverstone
XFX
OCZ
Seasonic