So in other words, I would have to overclock them at the same time until the maximum overclock is reached?
Sort of. The memory speed of a modern motherboard is set at a multiplier to the bus speed, in the same way a processor is. Like a processor, you can reduce that multiplier. When you overclock, the bus speed is what you raise. A Core 2 Quad Q6600 for instance, has a normal front side bus speed of 266mhz (that, rather confusingly, is run at 4x speed, so 1066mhz). So, when you have 800mhz RAM, you run it at 3.0x multiplier so it matches up. The CPU is 2.4Ghz, so runs at 9.0x multiplier. To overclock the CPU beyond 2.4Ghz, you can't raise the multiplier beyond 9, so you have to overclock the front side bus. To reach 3Ghz, you need to bring the front side bus up to 333mhz. Left at 3.0x, the memory will now be at 1Ghz, which if it is just 800mhz, isn't likely to work, so you drop the multiplier to 2.4, which renders it 800mhz again.
This whole process seems very complicated. When I decide to make my new computer, will there be people (maybe you) in the official overclocking thread to assist me step by step in this process?