Congratulations on diving into the world of wind synths with your EWI 4000S! The transition from sax to EWI can be thrilling since it opens up so many new sonic possibilities. For getting started, I'd recommend spending some time just experimenting with the breath control settings and customizing them to feel more natural-this can really help ease the transition.
As for sounds, check out Patchman Music's sound banks; they have an awesome reputation for realistic and expressive patches that can really showcase what your EWI can do. Also, try exploring the online community for custom presets and share your experiences with fellow enthusiasts.
Remember, the more you play around with it and tweak settings, the more it’ll feel like second nature. Enjoy the exploration!