I shift gears all the time. I like this reference: http://sheldonbrown.com/gears.html (as a new cyclist, you should definitely bookmark the Sheldon Brown site)

Basically, it does come down to just being in whatever gear keeps me pedaling at the rate I like. Since I've got a lot of gears (3x10), I keep a fairly narrow definition of the right pedaling rate. The more you shift, the more efficient you'll be (assuming you're shifting into the right gear).

Since you're new, experiment with different cadences to figure out what you like. Most people seem to find that about 90-100 RPM is smooth and easy. A few people like to pedal slow in a high gear. At least give high cadence a try for a while.