I've had a dozen SocketA processors pass through my hands in the last year and none of them have smoked. As long as a heat sink and fan is firmly attached, the possibility of it burning up quickly is pretty slim. Even if it heats up past the point of stability, it won't fry for quite a bit as the heatsink should wick away enough heat to keep it viable.
However, if the chip is cracked (which I've never done so I'm still a bit worried every time I attach a HS) there will be pretty much nothing happen.
I've got a Duron 800 running at 7*133 right now with no problems. It wouldn't boot at all at 8*133, no BIOS no nothing, very similar to what this case sounds like.
My biggest thing is cleaning the HS off, nothing but bare surface. Then I lap them shiny and apply the slightest amount of compound and test fit for a good contact patch before locking it in place. Never failed me yet!