Muslins aren't absorbent until you've washed them a few times so def do those. I did wash all the newborn clothes but often didn't bother after that so I wouldn't say it's essential. Personally it was the smell of some new clothes I didn't like especially stuff that came in a plastic packet. If it was a winter baby I'd say you could just wash the vests. Don't bother with toys. Def bedding if it smells. TBH they will only wear the unwashed stuff for a few hours so I don't think it's a big deal. And they don't really suck and put things in their mouths until a bit later on.
I just really liked seeing all the tiny things blowing on the washing line all at once!!