I have an almost identical system to you. Granted, I have an E8600 now, and 8GB of RAM, I started with the "E8400, 4GB, 8800GT" setup, and the basis will be the same. With that setup, I got a 4.05GHz 24/7 setup relatively easy. The E8600 is the same as the E8400, just with a +1 for the multiplier, and the extra RAM changes nothing outside actually limiting my overclock (which is why it runs at 4GHz when there's 8GB of RAM instead of 4.5GHz).
If you want to overclock (and unlike with PC games, your PCSX2 frame rate will go up about linearly with clock speed), I suggest starting a new thread in the Hardware forum for it, and have this stuff ready.
1. Understand that there are risks. While it's mostly safe, you do have to understand how to do more than follow a guide to be truly good (and safe) with it, and there are risks. Also, there are no guarantees of results (although in that CPUs case, I'd be surprised if it doesn't make it to 4GHz, but this also depends on the motherboard).
2. List your motherboard.
3. List your temperatures when idle and preferably when under load.
4. List your cooling (stock, or aftermarket, and if the latter, which one).
5. If possible, with that specific CPU, try and find out if it's the older C0 stepping, or the newer E0 stepping.