If your queen has been in with the package a couple days, go ahead and remove the plug over the candy end. If you are unsure about this plug, ask your package supplier when you pick up your bees. Some people get a little nervous first time and unplug the wrong end. This has resulted in a direct release,which is okay sometimes , or a queen flying off.
I have already put a small nail hole through the candy to speed up the rerlease, but that was when we had cool weather up here. I would not recoomend this method for your first time as their is always the danger of spearing the queen.