There are various parameters involved. I would suggest learning on hairs that are typically about 3mm deep at the root. It will be easier to tell if you are actually inserting the probe into the follicle and when you have reached the root. When you do a successful treatment, you should feel a slight tingle during the entire treatment. If you missed the root, either by penetrating too far or forcing the probe under the skin, but outside the follicle, you will experience pain that is much higher than the tingle. Also if you treat for too long, you will feel the tingle turn into pain. On the other hand, there are areas that are more sensitive and will be more painful than tingly, so it is best to have mastered the settings and timings a bit prior to working on these areas. Very shallow rooted hairs can be painful and must be treated delicately.
Be aware that setting 0 is not off; the unit has a 10k rheostat and the 10 setting is zero resistance (pure power from the 9 volt battery) and the 0 setting is 10k ohms as opposed to about 9k for the setting of 1. Some people would be comfortable with even more resistance (less applied power), but this would require some modifications to the unit or the way you use it, but this too is not extremely tricky.