Here is my 2˘:
Do not shake clay chips in a pillowcase. The only thing it will do is ding up the edges. It is not going to do what you want it to do as far as breaking them in.
Do not let clay chips get too hot. I did exactly what PocketRocket suggested you not do. Last summer I had some ASM's in my car on a very hot day. I'm sure in the sun inside the car with the windows up it was probably like 120 degrees in the car. Some of the chips warped quite badly.

Luckily, they were only samples and I only had a few in there.
Oil or no oil. It does take time, but will make your chips look nicer.
Transfer of colors. Just forget about it..... In playing conditions, your chips will get dirty from the grime on peoples hands faster than the color will get transferred from one chip to another of a different color. I think that most of the concern about this came about from everyone shuffling sample chips of various colors. It won't happen that way in real life.
AB