I work at a Sports Store, and yes, it can be done.
The benefis are that it helps to form the skate a little bit quicker, to break it in without the wear. It can dammage the skate if you wear them within 24 hours of heating them, as the materials need time to set.
Personally, I think its a little useless, because if you are comfortable in your skates, heating them does absolutely nothing. If you aren't comfortable in your skate, then you should try some others on because no matter what, you should be comfortable in a skate before you buy it.
Best thing to do, if you really want to heat your skates, is try them out on the ice a a few times first, if you feel they may be a little too stiff still, then you can get them heated.
Just don't buy a skate that you don't feel comfortable in at all, and think that with heating them, you will be alright. Take your time, try different ones on, and don't just go with something because a player you like uses them, or because they look cool.