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You really should clean it before firing it. The grease that the manufacturers apply to new firearms are more for storage than they are for lubrication. Clean it and apply a little lubricating grease to the moving parts, and run a dry patch down the bore.
Firing a gun with a barrel full of packing grease is not recommended and can be really dangerous. After you're done shooting it, clean it again, and run a patch coated with oil down the bore to protect it. Before shooting it the next time, run a dry patch down the bore again.
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