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Definatly not, always overclock in the BIOS.
Windows based overclocking tools are only ever useful for graphics overclocking. CPU and NB overclocking they are terrible. I'd highly recommend not doing it.
Clocking a 940 is pretty simple really. You can clock it pretty much guaranteed to 3.4 and possibly 3.6 with just upping the multi in the bios on stock volts. I currently have mine at 3.6 and will go a bit higher at a later date.