You should absolutely take it down and clean it out. Lubrication is optional, but since you are already cleaning it, it makes sense to do this too.
Your first shot, the fouling shot, will not be truly indicative of where your rifle is going to shoot, so just try to get it downrange safely.
After that, sighting it in begins.
Congrats, enjoy, and good luck.
I would just run a patch or two down the barrel from the breech end and shoot the thang! If you know how, give the rifle a good cleaning and lube when you get back from the range. If you need any info about how to disassemble just let us know.
With Marlins they aren't packed in packing grease and should be ready to shoot out of the box as they are test fired once at the factory. I am just fussy enough to want to open it up and make sure everything is there and there are no obvious problems (metal in the receiver, extractor missing, ejector out of place) with the new Marlins I have bought this has never happened, but I have to check just because. Enjoy your new rifle.