This is a good idea. jsc always advocates breadboarding, which is the process that you describe. It's an easy way to isolate problems with your parts, and it's perfectly safe as long as you don't break anything :P
Point a fan at it if things start heating up badly (check with Speedfan), but it shouldn't really be a problem.
Get a 212 EVO
if you haven't ordered yet. $5 more and significantly better.