Setting up rate-mode is 2 parts trial and 1 part error. Add 2 parts of trial to 1 part error and stir! After that concoction you'll be ready to fly!
Start with the rate-mode gain at 30% - adjust the position of the tail servo - or length of the tail-rod link so when hovering the tail does not turn (or hardly turns) with no rudder input. This usually takes a few hovers to dial in. Once it is reasonably stable - get ground clearance by climbing to 6 feet - maintain your altitude and hover - apply a little aileron to initiate a roll - the nose will turn in the direction of the roll at about 5 knots. Verify smooth and consistent turns - with no tail wagging. Adjust the gain (CH-5) to fine tune. A Futaba 401 gyro is typically between 20-30% - your mileage may vary.