An overclocked CPU or GPU is pretty much like a Cheetah. In the case of the Cheetah, it has a reputed running top speed of 70mph. But it can only maintain that amazing land speed for a short, 2 minute sprint, due to the fact that the Cheetah will get highly exhausted and quickly loose stamina to maintain that speed.
Well, the same way an overclocked PC will give you an initial speed performance boost while in use, but at a price. The more overclocked the PC is, the faster it will heat up, the sooner it's start loosing it's speed, which could lead to system overheat, which could lead to total system failure. That's why overclocked PCs are usually loaded with extra cooling fans, but even that has it's limits.
Oh yea, to make matters worst, many PC components manufactures will void the warranty on any of their products that get overclocked. Now, I am not really saying you can't or should overclock your PC, all I 'm saying is to be carefull on how much you overclock any given component.
But above all, keep an eye on the heat index, and if you see it rising quickly, just be ready to shut down your PC and to give it a few hours to cool off. I myself have an overclocked laptop for 7 years now without any overheat problems. It's all about using your head, that's all.
EDIT: But in the end, if you are not sure or have doubts about overclocking, then by all means take Penguinboy's tip and don't overclock, it's the safer bet.