I personally run a gutted thermostat in my race motor and pretty much that's the only one I've had to break in. I just started a motor last night for the first time since I've had it and I did drill a small hole in the thermostat.
I agree with jpar, I always run a gutted thermostat. You need to get the air out and you need a restriction, if you take out the thermostat the water will go through the radiator to fast and not have time to cool, it will just get hotter and hotter.
