I wear orthotics to better support my foot (arthrosis in toes), and yes you should definitely gradually ease in a new pair of orthos. That is according to the ortho maker, and my experience of using them. Take them on a a relatively 'short' walk, or jog, or run (whatever you normally do) and see how they feel - hot spot / blister potential will show up after a short while (5 or so kilometers), if its going to happen at all.
Another thing I do is remove the inner sole of new shoes and use the orthos instead; towards the end of the shoe life (3 or 4 months depending on mileage) I reinsert the original inner soles and put the orthos on top of this. Usually the shoe has expanded a bit, and the original padding has decreased in shock absorption, so the 'extra' padding now feels good.