I put mine in during my aroma hop addition with the inlet hose hooked up.
The boiling sanitizes the chiller.
Keep the outlet hose aimed away from your person, since steam and hot water can/will shoot out of it when the chiller is in the boil.
After you're done chilling, you will want to clean the hop gunk and trub off of it before you put it away. For this, I collect the first few gallons of really hot exhaust water in a bucket and dunk the chiller in it. (Oh, and during the chille, don't stick a hand in the stream of exhaust water to see if the chiller's working - it is, and the water will be scalding hot).
Post a pic when you get it built.