I recommend you start with water.
Water absorbs a lot of heat energy and can make it easier for you to learn how to control temps.
I suggest you try test burns without any food. That way you can concentrate on what your smoker's temps are doing without the worry of having to cook something.
Set a rough target like 250º. As Larry said, when the temp gets close, start shutting vents. Learn what it takes to stop a climb. Once you get it stopped, it doesn't have to be exactly 250º, try holding it there for a few hours. Then set a higher temp, like 300º, open the vents just a little, and try to stabilize it at that for a few hours. Then try to back it down to 250º.
Once you've stabilzation down then you can try using a clay saucer or no water.