Hello and welcome to the hobby and the forum.
I would suggest staying away from the plastic blades, as they are much heavier and the heli may/will not have enough power to lift off. Like helistyle said, go with the e-Flite flat bottom wooden blades. I too have had good luck with them.

As an addition, you will want to tame the CP Pro's tail. To do this, add a gyro such as the e-Flite G90. The install procedure for the G90 is outlined in the CPP's manual. Also for your tail, you can go with a direct drive or dual tail motor set up. The direct drive would probably be the better bet for that, as the dual motor setup adds weight to the tail that can be difficult to balance out (I personally use the dual motors without issue, but most that have used it and the direct drive prefer the direct drive).

As for the headspeed, I have not changed it, but in general the higher headspeeds give greater stability of the heli. I haven't had any issue with the stock headspeed.

Hope this helps, and have fun.