The real question here is "are you having fun?" Play several scenarios in Normal mode first, then try out any adjustments that you think will make the game more fun for you.
If you fail the same scenario a couple of times. consider lowering the difficulty just for that scenario. If you regularly fail enough scenarios that you're not having fun, there's no shame in making things easier.
If you never fail, consider raising the difficulty just to find out whether a greater challenge is more fun for you. And after you've finished all the scenarios once, try out Heroic difficulty to significantly spice up a replay.
Even if you're happy with the difficulty, it's worth experimenting with location and hourglass sizes to get the game length you want. Or change things up just to give the game a different feel. For example, playing with a smaller hourglass changes the game dramatically: whether or not any given turn is more difficult, the game will feel much more pressure-packed. That's specifically fun for when you have only an hour to kill and you want to maximize the killing an hour can get you.