The question you asked about breaking-in (UK term = running-in) an engine has been a hotly debated subject on MINI2 for some time. So has the "drive my new MINI home from a distant dealer" question.
By all means, go pick it up in person, inspect it thoroughly, and have a great road trip driving it back home. The good news is that you'll break it in in no time.
Specifically, to answer your question about long miles on the highway from dealer to home I had the same issues when I picked up my MINI in New York and drove it home to Texas. During the break-in period, about every 5 minutes I shifted from 4th to 5th for five minutes, then to 6th for 5 minutes and back down again. Since the gearing is so tall on the Cooper S it's easy to follow that and still maintain freeway speeds. And it's also important to vary vehicle speed as well.
To see other opinions on breaking the engine in (by the book or not), do a Search for "break-in" or "running-in" and you'll find lots (and lots) of threads on the subject.
Here are some of those threads:
http://www.mini2.com/forum/showthrea...=break+running http://www.mini2.com/forum/showthrea...=break+running http://www.mini2.com/forum/showthrea...light=breaking http://www.mini2.com/forum/showthrea...threadid=21252 
