Ana,
Congratulations on a very nice bike! I'm sure you'll enjoy many miles together. 
As far as your shifting issues go, does the chain touch your front or rear derailleur? If it's the front derailleur, it sounds like you need to "trim" your front derailleur. One of the benefits of Campy is that you can trim your front derailleur. Unfortunately, I'm a Shimano user, so I don't know exactly how to do it on the Campy set up. I'm sure some of the other Campy users can chime in.
Since you just bought the bike, you can probably bring it into your LBS for a minor adjustment without any extra expense.
Hope you get it all figured out and are out enjoying some great rides soon!
- Melissa
I'll get back on the bike soon, I promise!