As for a new gun... I like to run about 200 rounds through to make sure there are no gun-related issues, and to break it in well. As for new types of ammo, I usually just run one full mag's worth of that particular ammo through each one of my carry mags to make sure it feeds, fires, and ejects ok. If your gun does not like a particular choice of ammo, it will become apparent rather quickly.
One more thing. Make sure you closely inspect each and every defensive round you will be carrying for CCW. Look at the case, rim, primer, etc and make sure you don't see any abnormalities before loading them for CCW. Also, inspect your carry mags with the same scrutiny. Look at the follower, feed lips, mag catch notch, etc on a regular basis.