The norm seems to be 20, 30, and 40 yards. For now you don't need more than that even for practice. You could suit yourself and set them for 15, 25, and 35 yards. Keep the pins at 10 yard intervals. For distances in between the pins you can learn to "gap shoot". Pins set at 5 yard intervals tends to clutter up the sight picture too much plus you may pick the wrong pin when you least want to.
If you have more than 3 pins then slide the bottom ones down out of the way for now till you become more experienced. Don't set a top pin for 10 yards. You don't need it. The difference in point of impact with a 20 yard pin is only about 1" higher at 10 yards.