Yes, don't run it under hot water. That will kill everything that you paid for. May as well have just dug up rocks from your yard. You don't want to start off with a hair algae epidemic, but you also won't be able to eliminate it from your tank anyway. If the conditions are right (wrong), hair algae will grow in your tank, regardless. Scrubbing the rock with a toothbrush is a good idea. I'd still basically do a quarantine of the rock in a dark place, be sure you get rid of the hair algae, then add it to the tank. You can do that in your tank, if you want, if you don't have any corals you can keep the lights off, or only on for a few hours and this will also get rid of it.