Regarding dipping stuff like rock, sand, etc. I think it really depends what you are trying to do. IMO, the really bad parasites that people are worried about are the parasites that eat certain corals. Usually these parasites are specific to one genera of coral, so unless you have that coral, they will die pretty quickly. This means that if you are setting up a new tank, or even a tank that only has a few corals in it, I see little point in dipping the rock, sand, or anything else. As mentioned before, you will kill off most of the critters you want to be adding to the tank. Of course, there are nusience critters that can come in, but most of them are controlable (Aiptasia, Valonia, Majano, etc.).
The alternative for some of this is that you can hold stuff (rock, macroalgae, etc.) in an isolated system for a few weeks. This will give a chance for any parasites to die for lack of a host.
