This is a build I am assembling (thanks to everyone's help), with parts arriving daily. I need a lesson in overclocking. I'm not sure what can be overclocked or how. Step by step guides and limitations for this specific hardware would be much appreciated.
Parts that can be overclocked include the CPU, system memory, the GPU(s), and the video card's memory. There may be other things in your BIOS but they don't have a significant effect on performance. I don't have a Sandy bridge system so I don't know everything else you would have but it doesn't really matter.
Sandy bridge systems can't take much of a BLCK overclock and max out at about 5% most of the time, aka a 5MHz increase over the default 100MHz. The BLCK frequency controls pretty much everything else directly or indirectly and some of the things it controls in Sandy bridge systems can't take much overclocking of the BLCK.
Next, you can change the CPU multiplier from 33 to any number up to 57 (I think 57 is the max) but with your cooler don't expect that much, the Evo will probably max out around 44, aka 4.4GHz for the CPU. Multipliers of different parts the BLCK multiplied by themselves. Since the BLCK maxes out about 105MHz it doesn't have as significant an effect on the rest of the system as it does in most other platforms. 100MHz-105MHz times the CPU multiplier of 44 give you about 4.4GHz at 100MHz BLCK and 4.62GHz at 105MHz BLCK. Your cooler will probably max out at about 4.4GHz.
Your memory is a much harder part to predict it's maximum overclock. It is also much more complex than overclocking the CPU because now you also need to deal with the latencies of the memory and there are a lot of different latencies. Since memory overclocking doesn't have much effect on gaming performance (almost no effect actually) I would recommend you more or less leave it alone unless you want to play with the settings.
Other than changing the memory voltage (aka DIMM voltage on my motherboard) there shouldn't be a way to damage the memory or other parts by playing with memory settings. If you go over the threshold of what your memory can handle the worst case scenario is your hit the BIOS reset button and start again with playing around in the settings, no big deal.
Now I've never overclocked my video because I am not a gamer. The only video card I had was from 2004 or 2003 and back then it was the worst Radeon of the series so yeah... it's crap. I never did anything that needed much video horsepower so it was enough. In my current machine I'm just using the integrated Radeon 4290 instead of any video card.
You can try Googleing this kind of information and you should be able to quickly come up with many, many guides that would be better than what can be offered at forums.