I ordered a couple of Antminer U1's just to play with and I'm wondering what mining software would be the best to use. Is there a good guide on how to set them up?
Use BFGminer or CGminer to mine with your U1s. I prefer BFGminer because it looks a bit better, but they both do the same job.
and have a look here
https://bitcointalk.org/index.php?topic=437666.0 on setting it up.
Also, in the amazon review by DJ Knight he says he was able to overclock them to 2.5 GH/s using AntGen. Is that not safe as they only say to overclock to 2.2 GH/s?
All overclocking has some detrimental effect, and carries some risk of damage. Not all devices can be o/c'd to the same level. Start with a small overclock, then make small steps checking the hardware errors and stability. Extra cooling may be required.