May Not Need To. Hiccups are spasms of muscles. When an infant is truly bothered by something, they generally cry. And crying breaks the spasm so the hiccups disappear. If the baby does not fuss with hiccups, they are not bothering the baby, so why do anything. A pearl to remeber is that hiccups may be a sign of gastroesophageal reflux.
Harmless. In general, hiccups are fairly harmless. The first couple of weeks of the life the hiccups seem the most bothersome and then become less frequent. No worries though, if the infant or newborn is acting fine otherwise no need to panic. If there are other symptoms such as vomiting and/or an inconsolable infant you may need to call your child's doctor.