you can buy a pre grooved one that costs 20$ more. I did it my self. I had the small files and it took me like a half hour. I was really carefull If your not good at working on things like that you might want to have a luthier do it for you.
some say yes, some say no... on the back of the package it says yes, but it also says you need to have it done professionally... I say: yes, in my case the strings would shift around across the saddles... but I ended up doing it myself, partly because there really aren't any luthiers around and partly because it's so easy... like spaz said: take a couple of small files and just take your time... I did 3 or 4, none went wrong... but I must say I have have a pre grooved one(on a highway bass) that's pretty easy as well!
It's dead easy provided that you're careful and take your time. Go an buy a decent triangular needle file from somewhere that sells quality tools. Fit the bridge and string up the bass. The string tension should hold the strings in place as you find the correct position for them. I set mine up for the best compromise between distance of the strings from the edge of the neck, lining up with the pickup pole-pieces and even string spacing. Once I was happy with the string position I marked each side of the string on the saddle with a semi-permanent marker pen. Remove the strings and file a notch in between the marker lines on each saddle. You'll need to be careful for the first few strokes as the file tends to skate about on the shiny chrome surface. Once it's cut through the finish you'll be fine though. How deep the grooves need to be will depend on the strings you use and how hard you play. I've seen some Badass bridges with huge V=shaped notches in them. I got away with very shallow grooves that were almost un-noticeable once the strings were on. Start with a shallow notch and if you're finding the strings pop out when you play go deeper a few strokes at a time until they don't. Good luck!