Hi Alan, and Welcome, I just saw your post in the meet and greet. We’ll get you going again!
Re a new harmonica. No there is nothing you need to do. In the old days, when most harmonicas were made by hand and had wooden combs, people would dunk them in water to have them swell up and become more air tight. These days, that will only help to damage your harp.
The only thing to note is you may find the top notes (high notes) a little hard to play at first. Don’t force these, always play softly and they will ‘break in’ after about a week of playing. If you force notes, you could damage the reeds.