If you are checking for cytokines by ELISA, then FBS is fine to leave in the medium. If you are going to be doing a western blot then you might consider removing or drastically reducing FBS concentrations.
There are many different protocols for LPS priming, but the one that I've had good success with is 1 ug/mL for 2-4 hours with LPS from E. coli O111:B4 (Sigma or Invivogen).
Whether you should add your compound simultaneously will depend entirely on how your compound works. That is up to you to determine experimentally.
To check anti inflammatory activity is better to have a strong THP-1 response. Previous diffentiation to macrophafges with PMA up to 100 uM for 24 h, 24 h non-stimulated and then E Coli's LPS 10-100 ng/uL (1-4 h) will enhance cytokine response.