Case fan / PSU connection questions

I have just built a machine with an Antec Three Hundred case, which includes two TriCool fans and a Be Quiet! Dark Power Pro 750W PSU. This is my first build and I'm a little bit confused as to how to connect the case fans properly.

The case fans have a four pin connector and a switch to control speed (low, medium and high). I assume they are meant to be connected directly to the PSU and are not supposed to be controlled by the motherboard and that is why they have a manual speed control. The PSU has several male two pin fan sockets and comes with cables that connect to the PSU fan sockets and then have another two connectors, which are both labelled "fan" on (one of which fits with the connectors from my case fans).

If I'm connecting the case fans to the fan sockets on the PSU, what speed should I manually set them to before I connect them? They do come on when I set them to low, but the Antec case manual suggests I should set them to high if I choose to connect them to "a fan control device or to the Fan-Only connector found on some... ...power supplies" as fan control devices may not always supply enough voltage to start them on low or medium. I'm worried if I leave them on low that even if they actually start I might not be getting enough cooling out of them if the PSU is controlling the speed. Should I put them on high and assume that the PSU will lower the speed itself when they are not needed? I'm not sure how this works!

Sorry if this question seem a bit stupid, but the manuals are a bit confusing on the issue to be honest and I've never done this before! Thanks.

They are the larger pins. I have set them to high and it doesn't seem to be very much different. Thanks for the answer!