Mark,
First off, congrats on the new machine ;D
The grease they are packed in is for rust prevention, not lubrication. So, yes, tear it down for a VERY THOROUGH clean up and inspection. There is probably casting sand left in corners or that has been painted over. I don't know about the 9x20, I got mine used, but my C2 and X2 had lots of trash left on them and burrs all over the place.
Prepare to spend the next week or two cleaning up, inspecting and tweaking. This is where you really need to slow down and take your time. If you don't do it now, you'll just end up doing it later.
Assume this is a kit and the manufacturer only packed the parts close to their final resting place and spent no time making sure adjustments have been made. Check for any burrs, especially sliding surfaces or where they may snag an unsuspecting hand. Clean them up with a file or stone. WD-40 and a cheap paintbrush works well for clean up.
When you are satisfied with the clean up and all snags and burrs are gone it's time to adjust it for work. Use "Rollie's Dad's Method" (use google) to check the headstock for square and adjust as needed. Assemble each piece one at a time and check that it works properly and smoothly. Lube the parts as you put them together. 90 weight transmission grease works well, so does wheel bearing grease. I've used synthetic motor oil to good effect but it needs frequent oiling.
That should get you started. Lots of info on the web, some of it not so good, some great. If you have any doubts, ask.
Good luck.