Having spoken to some very good mechanics and engineers over the years, the advice is to take it a little easy for first 500 miles or so. Don't labour the engine at low revs, but try and vary the revs a fair bit.
Most important thing is to let the engine warm up so oil is at good temp, for most cars this will take around 10 mins or 5 to 6 miles, maybe longer in colder weather. Once engine is warm, give it full throttle but don't redline it for first few hundred miles. You are aiming for piston seals etc to bed in well and this needs some load.
So basically, you don't need to mollycoddle the car, but make sure the engine oil is up to temp before giving it the beans and don't cane it too much for the first 1000 miles.
Touch wood, has always worked for me and never had an issue with an engine or excessive oil consumption.
Above all, enjoy your car!