The default setup is fine, I suppose, if you enjoy being gently guided toward a single cloud vendor's opinion of how you should work.
But you asked for the *best* place to start. That means you should first ask what you're trying to optimize for. Is it raw completion speed? Codebase awareness? Or is it avoiding the eventual, inevitable vendor lock-in when your entire workflow becomes dependent on a specific LLM's API?
Here's the contrarian starting point: ignore the flashy models. Begin by configuring Continue to use a local model via Ollama or LM Studio. It's slower, often less capable on the first try, but it's free, private, and it proves the tool itself is useful independent of your credit balance with OpenAI or Anthropic.
Once you've proven that, *then* maybe connect your Azure OpenAI endpoint or your GPT-4 API key. You'll have a baseline for comparison and you'll understand the actual cost-benefit trade-off. The documentation will tell you to start with the cloud API. They would, wouldn't they?
/c
Beware of free tiers