Without going into detail, I'll answer what I can...
You can pretty much put the Edirol anywhere you think it will be safe. As you no doubt know by now, it's quite tiny and you should be able to keep it in a lot of places. As for basic settings, other than making sure the AGC is off and the external mic is set for stereo, also make sure that it's set to low sensitivity if it's going to be loud.
Typically with levels, I'll try and get a good feel in the opening song, usually write at the beginning. Once I feel comfortable that the levels aren't set to high I usually just put the hold lock on and let it sit. I've found that generally this works the best for me as I'm not worrying myself sick checking every 10 minutes to check levels. Not only that, but you are more and more likely to get caught the more times you pull that thing out. Sometimes I'll just cover the red light with a shirt or something. If you've done enough reading into, you'll know that while you can't completely eliminate the red light, you can get rid of it for the most part.
Also, as a side note, you might want to dim the LCD as far down as it will go. Even in complete darkness, the dimmest setting is more than enough. Anyhow, to summarize, I usually just keep the stuff in my pockets and try not to move around too much. As for the other stealth questions, you'll just have to be creative. If you get caught, whatever you do, don't hand over your gear, just leave and don't make a fuss.
If anyone thinks I've said too much, please let me know, as it was not my intention.