To run faster, the card will need more power. To get more power, it will have to draw more from the motherboard, which in turn draws more from the power supply. The motherboard and power supply must have the capability of supplying the increased power for the overclock to work.
The by-product of computer processing is heat. The faster something works, moves or calculates, the more heat is produced. This is the main consideration with overclocking. There must be sufficient cooling available to allow the extra heat to be dispersed, otherwise the system will shut down to protect itself. That would be the thermal throttles at work.
When overclocking, it is generally wise to increase the clock speeds in small increments. The extra power drawn will be minute, often as little as .1V, and the heat increase gradual. This allows you to find a happy medium between speed, temperature and reliability. Once this balance has been reached, it is a good idea to just leave things alone and enjoy the new faster machine.
To protect itself from damage, the motherboard has voltage regulators built onto it to ensure that the power supplied to the video card is supplied at a steady rate. It ensures that the voltage that is sent from the PSU is delivered at exactly the voltage the components need. If a GPU core needs 5.71V, the regulators need to ensure that the voltage supplied is 5.71V. If a component or peripheral draws more power than the threshold allows, the motherboard will cut it off.
It is also a guard against users trying to force too much voltage to a particular component, in this case, through the PCI-E port to the card. The problem is that is can only really guard against it once it detects too much voltage going through it, so it is still possible to overload a card, albeit only for a second or two. Unfortunately that second or two is enough to fry a card if you're not careful.