Well I know how to get my PC power supply going by jumping the pins but my main question...

1. Is it better to get my +5 and +12 volts from the molex connector or is it better to get it straight from where I jumped, that main connector?

2.I also heard you want to have a load on it when running it so it doesnt burn out is that true?

Acually it doesn't matter where you pull from, I personally would pull from the molex connectors just because of the range and ease of connection. If you are planning to run the voltage to a connector block then I would cut & wrap all the lines and just use the mobo connector. Instead of just using a jumper on the mobo connector I put in a switch so I didn't have to use the switch on the back of the PSU.

I have never heard about the "load" theory, it doesn't really make sense though. The fan will be running whenever there is power to the unit.

SMPS (like a PC power supply) won't run the correct voltage with a zero load.

A small load like a few LEDs is enough, so I usually use those as power indicators.

Oh yeah I forgot about an led. I have a bunch of these around. The led only needs 3V right??? Plus this will help me to know when its on

I take it any load will work? I plan on using a PC power supply for my CNC controller and motors. When I first turn on the power supply, it will immediately power the CNC controller board, and eventually the motors. Would I need some LEDs, or would the CNC controller board be enough of a load in and of itself?

I'd make for a separate, constant load myself, just to make sure that the PSU remains regulated.

Don't forget, there are different rails supplying 12v and 5v in power supplies. Check the side, most should list how many rails and how many amps each one puts out. If one is more powerful, you might want to use that. If you need lots of power, split it between the rails. Never connect the rails (or power lines from each rail) together; it can cause a sort of feedback loop that can blow your power supply and possibly cause a fire.