Shade 5 for oxy-fuel unless you are using a massive tip or cutting titanium.
Warm up the brass rod, dip in in borax, yes, the cleaner, same basic stuff as the welding supply store.
Brass is copper and zinc. The zinc burns and produces fumes that are quite poisonous. Make sure you have good ventilation, the copper fumes aren't healthy either. Bronze rod has no zinc, it is copper and tin, or in most cases silicon, but really, bronze is any copper alloy that has no zinc. No welding fumes are healthy.
I pulled this from the Department of Labors site:
ZINC
Zinc is used in large quantities in the manufacture of brass, galvanized metals, and various other alloys. Inhalation of zinc oxide fumes can occur when welding or cutting on zinc-coated metals. Exposure to these fumes is known to cause metal fume fever. Symptoms of metal fume fever are very similar to those of common influenza. They include fever (rarely exceeding 102o F), chills, nausea, dryness of the throat, cough, fatigue, and general weakness and aching of the head and body. The victim may sweat profusely for a few hours, after which the body temperature begins to return to normal. The symptoms of metal fume fever have rarely, if ever, lasted beyond 24 hours. The subject can then appear to be more susceptible to the onset of this condition on Mondays or on weekdays following a holiday than they are on other days.