Difficulty (Long War)

I'm fairly new to XCOM. What difficulty should I start with?
Normal.

I'm an XCOM veteran. What difficulty should I start with?
Normal.

But I'm really awesome at --
Sorry to interrupt, but just start with Normal. We don't have easy difficulties in this mod that hold your hand while you learn the ropes and we've removed every bit of code we can find that cheats for the player on the lower difficulties. It's going to be hard. The other difficulties are just harder versions of Normal; feel free to move up when you get a handle on all the new mechanics.

OMG, this is hard. I'm having to save and load lots to win all my missions
You are not intended to win every mission, and in fact if you do you'll have a very imbalanced game. You can and will see Supply Ships and Battleships in March or April and you're not intended to beat them. Take heart though, Long War is balanced around winning some and losing some. You can get countries back if you lose them and you can keep fighting as long as even one country supports you. You're expected to have dozens of soldiers on your roster, so losing your highest ranked sniper isn't the end of the world. There will be a lot of UFOs to assault, so if you don't shoot some down or fail to assault them there will be many more.