You preheat the stone when you preheat the oven. Place the cold stone into the cold oven and preheat it.
When you pull out the stone it will be VERY hot. It will stay hot alot longer than you imagine, so make sure you are very careful.
I placed some olive oil and rubbed it into the stone, then placed it in the oven at 350 for 40 minutes. Let it cool, and then wiped off any excess oil. This helps to "season" the stone, for a longer lifetime.
NEVER place a cold stone into a hot oven. It will not heat evenly and could crack. NEVER cool a stone unnaturally, let the stone cool at room temperature. This can cause cracking as well.