When it arrives you will need to activate it online here http://giffgaff.com/activate-sim .
If you don't receive the replacement SIM after a week i suggest you ask a agent to investigate. To contact an agent go to your My giffgaff page and scroll half way down on the left hand side you will find the "Ask an Agent" hyperlink. This is also the location to view the reply's sent by agents to any questions asked here is the link to contact an agent https://support2.giffgaff.com/app/ask/
A response from an agent may take up to 24 hours during busy periods, but they usually reply in a couple of hours. Agent replies can be found here https://giffgaff.com/support/questions