It's difficult to put a clearer answer when the question is non-specific. In most cases I'll start with a structure that is at room temperature and then build up temperatures through transient changes. In some cases I might know that steady state temperatures have been achieved and then wish to investigate some kind of transient. In all cases I'll try and verify the answers by common sense/analytical means or preferably validate the answers by measurements. If the model results differ from measurements then I might 'tweak' the model to give better results in line with measured values. For transients you can start with initial temperatures or a steady state run before running the transient analysis in one analysis.
For 'boundary conditions I think that may apply' in a thermal analysis I refer to assumptions regarding fluid flow, or whether fixed temperatures apply, or whether radiation is significant or not, or whatever. It all depends.
corus