If you are shooting RAW, these "Blinkies" are not very useful. They only indicate overexposure for the JPEG displayed on the monitor. The dynamic range of the D800 is much greater than the displayed histogram suggests. At base ISO, you can easily recover 2-2.5 stops of overexposure using software such as LR5 or DxOPro.
Easiest way to activate blinkies is simply to press the up or down arrow while reviewing images in playback mode. This will flip you through the various screens - you're looking for the one called "Highlight".
Somewhere in the menu you can adjust the brightness level above which the blinkies are displayed.