OTA doesn't seem to work yet. Hook your O2X up to your PC and use the LGMobile Update Software to get your phone up to date.
My phone wasn't bricked during the process, but I'm flashing CM7 nightlys like mad now.
I'd suggest, if you want to be completely safe, to check out
25 Mar: NVflash stock ROM release: v10b dated 1300166062 (15/03/2011) - Android @ MoDaCo
It describes a "failsafe" which enables you to restore your phone even if it is heavily bricked (NVFlash hooks directly into the Tegra Firmware, so as long as you don't screw that, which you can probably only do using NVflash itself).
Get familiar with that guide and try out the --sync command to see if your device is recognized correctly.
The first things I'd recommend to someone trying to immerse himself in rooting/custom ROMs is reading,reading,reading.
XDA is stuffed with people who did stuff without even knowing what they were doing, deleting essential system files and bricking their phones. Don't be one of those, google can help you aquire the necessary information about
freezing apps using titanium backup or the package manager
installing custom ROMs via clockworkmod and so on.
First thing I did after rooting my O2x was disable the LG CarHome application and Fsecure (important: I DISABLED them not UNINSTALL them)
Have fun w/ your device.