yes, leave the engine running, keep the coolant circulating, and the air along with it.
I normally leave the pressure cap off the system tank, and watch the coolant level in the tank. If it decreases I'll top it off, but at some point (when the thermostat opens) the coolant will begin overflowing the tank. At that point I screw the pressure cap on. At that point I also know that the thermostat has opened, and that it is time to raise the front of the car for the first time.
By all means keep at least one tire chocked on both sides, to prevent the car from rolling forwards or backwards.
Click on the link to "my Pantera's photo page" and read my notes near the bottom regarding the coolant system. Pay attention to the part about the plumbing between the radiator outlet and the coolant pump inlet.
