Simple: If you're that concerned, don't overclock it.
To blow something up by overclocking it is actually fairly difficult, providing you don't straight away set it to 2.5V Vcore and 320x10 or something equally stupid.
I blew up my 9800Pro by overvolting/overclocking... But I'm not expecting Ati/Sapphire to pay for <i>my</i> <b></b>f<b></b>uckup.
Besides, RMAing something dishonestly would fcuk up your 'Silicon Karma', and you'll receive dodgy components in the future, or something...
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<font color=red>"Life is <i>not</i> like a box of chocolates. It's more like a jar of jalapeńos - what you do today might burn your a<b></b>ss tommorrow."