Do I wear my glasses when setting up face recognition

It is not necessary - face recognition should in fact recognize you with both your glasses on and off. And, over time, this should even get better as the built-in AI learns to recognize you in different environments. The more you use it, the better it gets.

If you use glasses then you should wear them at setup.

I don't wear glasses all the time. I set it up without them but it still works with them. Not with face masks though, which is no great surprise.