The great part about overclocking the 2500k is there is probably more overclocking information on this CPU than any other in history. The 2500k and 2600k have been hugely successful and there are literally hundreds of sources you can use to get the fastest, stable, overclock your CPU can handle. So that's the good news. The not so good news is you can damage your components if you're clumsy enough.
The most important consideration when it comes to overclocking, especially if you're new to the concept: it takes time to get it right! DO NOT RUSH! Take your time to research, make small adjustments and be sure to test your changes before moving on.
Set a goal for your OC and performance. While it's fun to see what the limits are, staying within reasonable voltages and temperatures will prolong the life of your components, not to mention help to keep you stable. Typically on a 2500k, you can reach frequencies anywhere between 4.2-4.6 GHz by making MINIMAL changes to your settings. In fact, you should be able to easily get into that range by making only changes to the vCore, and even then the "Auto" setting works for a lot of people.
If you're willing to put the time and research in, and you're able to set a reasonable goal for your OC, I think you'll have a lot of fun overclocking your CPU and it's a pretty safe process. It is a powerhouse of a CPU, by anyone's standards, and I think you'll be amazed at how fast your system is when you get into the 4.2GHz+ range. The forums on Tom's are full with people using this processor, so don't hesitate to ask if you run into unanswered questions. Good luck to you!!