Yes, make sure you connect everything but the motor, and check it all out--servos centered, and everything should be good to go. Then, turn it OFF, disconnect the battery, and plug in the motor. Now, make sure the radio is ON and the throttle is all the way down. Plug the battery in, and turn the switch on. Now, set up the esc and you should be good to go....
Make sure you are not in front of, nor do you have ANYTHING within the prop arc when turning it on--ever, not just the first time. Electric motors can go from zero to full throttle with no warning, and can do a lot of damage.