Clean off the shipping coating no matter the chain, O-ring or standard. It has very little lubricity and is great for attracting dirt.
I suggest you not use solvent cleaner on O-ring chains as some solvents can make the rings swell, or dry out.
Oderless mineral spirits or kerosene is fine. No matter what you use, don't let the chain dry out before you lube it. Wipe off the excess cleaner and lube immediately.
WD-40 "should" be fine, becasue so many folks use it...but in my proffesional opinion, it aint fine for nothing but displacing water. A good chain lube, it is not.
Easy? Yes. Faulse sense of security? Yes. Lubricity? Very little.