If you stick in 1066MHz RAM you don't have to change anything, the RAM will downclock to whatever the FSB is running at unless you mess with it. You don't change the CPU's FSB multiplier. And infact you can't.
The E8400 CPUs do not come unlocked, only the "Extreme" branded CPUs with an X in the model have unlocked multipliers.
BASICALLY:
Core 2 Duo CPUs run at either "1066" or "1333" FSB.
This is "quad-pumped" as it send four bits per cycle and the number quoted is an "effective FSB speed" and not the actual physical speed.
The actual physical speeds are 1066/4 and 1333/4 or 266 and 333MHz respectively.
In order to overclock these CPUs, one must raise the FSB. Raising the FSB from 266 to, for example, 400, raises the "effective FSB speed" from 1066 to 1600.
DDR2 RAM's quoted speeds are in fact twice the speed they are running at. So a DDR2-800 stick will run at a maximum of 400MHz without overclocking.
When you put a DDR2-800 stick in a 1066 or 1333 (266 or 333 physical speed) motherboard/CPU combo, it will downclock itself to run at 266 or 333, whichever the processor is running at.
The memory will generally try and run at the same speed as the FSB, so if your memory is DDR2-800 and your CPU FSB is 1333MHz then it is slowing itself down from 800/2 to 1333/4, from 400 to 333.
As you increase the speed of the FSB in the CPU, the memory will attempt to scale upwards with it and maintain a constant ratio with the CPU.
Thus, if you overclock a 3GHz 1333FSB (333 physical) CPU with a x9 multiplier (333x9=3GHz) to 3.6GHz (3.6/9 = 400MHz), you will be adjusting the FSB from 333 to 400MHz.
At this point, the memory will now be running at effectively 800MHz; the level at which DDR2-800 is rated for.
If you wish to push past this FSB point, you will be making the memory run faster than that which it is rated and are 'overclocking' your RAM.
This means that anything past 400MHz FSB is not guaranteed for by DDR2-800, and is why some people use DDR2-1066 (which will guarantee them headroom up until an FSB of 1066/2 = 533).