Definitely wax it. There's plenty of good youtube videos demonstrating the entire process.
I super soak a new board. Put a heavy coat of wax on and iron it out. Let it sit for 20 minutes and iron it out again. Scrape it till you cant scrape any more. Take your new board out and enjoy it. It'll probably look dry again after so go ahead and wipe it down and wax it again. It takes me about three cycles of waxing and riding for a new board to really soak the wax in to where you can do about 5 or 6 days without waxing it again.