When you are on level pavement, set them to be 1/4" to 1/2" above the ground as specified in the manual.
Since you have a new tractor, the wheels probably have zero lubrication and you are hearing a dry wheel spin/rattle due to the grass causing them to spin while mowing.
Get yourself a can of spray lubricant and spray the wheel axles prior to mowing. I've been spraying my deck wheels with lithium grease for the last 3-1/2 years and the wheels have no appreciable wear. Grease zerks on the wheels would probably eliminate the need to do this every time I mow, but it gives me something to do while waiting for the tractor to warm up.
If the deck wheels are set correctly, they will always spin due to the grass contacting them; however they shouldn't be riding on the ground. They are not there to carry the load of the deck all the time - only when you hit a dip so you don't scalp the lawn.