You can certainly setup Windows with Ethernet. That's how I setup all my computers. Only after the computer is setup and running well do I add WiFi.
If your connection to the internet comes through a router, the best, the easiest and the safest way to setup WiFi is to follow the directions in your router's owners guide. It is the router, after all, that creates and manages your home network, so it makes the most sense to setup your network through the router. In the beginning of the router's owners guide you will find complete (and often illustrated) directions for setting up a secure WiFi network.
Finish setting up Windows and check it out to make sure it's running well. Once you feel confident you can add WiFi.
(P.S. Don't forget to make backup copies of your BitLocker recovery key.)