Depends on what you're doing.
When I mow (MMM), I keep it at 2,500 in order to get a good cut.
When I'm digging into a dirt pile wth the FEL, I'll bump it up if needed, then back off a bit when I'm done with the digging part.
If you have the HST (I do), it's very easy to lug it when your in high gear. There's a dramatic difference between low and high. Sometimes when digging with the FEL, I'll travel to where I need to go in high gear. If I forget to stick it in low when I start digging, it's almost like I have no digging power at all.
Regarding everything moving too fast if the RPM's are high, that's part of the learing curve. I've learned to use a really light touch on the FEL joystick and 3 pt controls.
Have fun!