Pinballs come with a film of oil on them to keep them from rusting. Not so sure I would rinse them with water. Pitting and rusting are a playfield's worst enemy but you need to get the oil film off.
You can play with the balls that come with the game for now, but factory pinballs are notorious for being cheap and pitted and it is highly recommended to replace them in the near term.
I buy these balls and replace them after a few hundred plays.
http://www.pinballlife.com/index.php?p=product&id=1325
After thousands of plays, the playfields still look factory perfect.
I buy them for $1.50 each and sell them on craigslist after a few hundred plays for $1.00 each. So my cost if 50 cents per ball. Even a new ball is shitty sometimes so buy a few extra.