Salesforce always promotes using the Developer Console to view debug logs, but I prefer using the old school Setup > Debug Logs that you're looking at (which they don't even mention in the Trailhead module for debugging).
Yes, you need to set up a trace on the user who's running the code, and the logging duration is limited to 24 hours. The logs will appear in the Debug Logs section of Setup.
Don't be fooled by setting a class/trigger as the Entity, since that doesn't actually activate any logging. Only a user entity will cause logging to occur.
You can retain and manage debug logs for specific users, including
yourself, and for classes and triggers. Setting class and trigger
trace flags doesn’t cause logs to be generated or saved. Class and
trigger trace flags override other logging levels, including logging
levels set by user trace flags, but they don’t cause logging to occur.
If logging is enabled when classes or triggers execute, logs are
generated at the time of execution
I like to include a unique marker string like "###" in the
System.debug() so I can find it easily when I'm viewing the log in my text editor. Example:
String x = 'abcd123';
System.debug('### var x is: ' + x);