W2DR

Welcome to the forum. Your CPU automatically scales up to 3.3Ghz under heavy loads (like FSX). This is called Turbo Mode. It's a  built-in feature of the CPU and is not considered an overclock. Beyond that the i5-6400 is generally cannot be overclocked. I say generally because there are now available motherboards which will allow for a multiplier-locked CPU, like yours, to be overclocked. See this article for more information  http://www.pcworld.com/article/3016158/hardware/ready-set-overclock-your-budget-skylake-cpu.html  .
 
It's not the overclock, per se, that damages PC components. Rather it's the heat generated by the voltage increases necessary to get the CPU to run at a higher frequency. But, if properly cooled, there are seldom any issues with damage from overclocking. The overall life of the CPU may be shortened a bit but most folks never keep a computer long enough to have to worry about that.
 
So, yes you can overclock your CPU but it will probably require a new motherboard and possibly new RAM. You would also undoubtedly have to increase the cooling capacity as well. How much you can overclock (increase the frequency of) any CPU depends heavily on the particular chip. Some chips of a given brand and model just handle the voltages better than others. The only way to know how much any CPU can be overclocked is to try it.
 
My bottom line? You have a great new computer. I wouldn't worry too much about overclocking it. Probably the best you could reasonably expect is a 10-15% FPS increase and you can get that by just reducing the FSX details a bit.
 
Doug