Ultimately, you have to find a method that is comfortable and suitable for you. The approach I would feel comfortable with may not be suitable for you. Just keep this in mind.
I use my SX-B for DIY thermolysis and blend. In this case, I would be using an insulated probe. The vellus hairs are going to be shallow, so you will definitely want to protect your upper layer of skin as much as possible. I, personally, would start out at a thermolysis setting of 20 and then adjust upwards depending on how long it takes for the hairs to release smoothly. I’d prefer to apply less current when treating vellus hairs, so I can imagine that 20 would not be sufficient.
The important thing is to go slowly, insert properly, find a working point that is comfortable for you. Again, my approach is my approach and may not be suitable for you.
I still find that I can feel that point of a smooth release for vellus hair. If you can’t, in an effort to not undertreat the hair, you may end up overtreating it. In which case, it might be easier to see a professional.