Last night (10 May), my gaming group generated their characters and played through Day 2. They were aware that they'd largely be doing investigation work rather than skullduggery and combat, so they dug into the atmosphere of Cobb's Corners. They said they enjoyed it so far. I'm looking forward to laying more of the folklore tales and red herrings in their path.
One thing I discovered for my own part is that I need to index Episode 1 for my reference during the game. As I read it to prepare for last night, I thought it'd be easier to find information than it turned out to be. My solution is to prep a brief index in my keeper's log so that I can find the right page at the right time. Otherwise, all went swimmingly, and I think the players are going to enjoy the next session.
Thanks to all the people who prepped keeper aids, too--those were a big help, especially the list of typical 1920s names posted by @pookie.