I use 10s now, having found that I'm becoming heavy handed and pull things sharp without meaning to on 9s. It took me a while to get up to usual speed but now all is well.

And yes, you really do need to adjust the set up on your guitar when you change guages. Potentially truss rod, bridge (action) and pickups... maybe nut slots as well if you're going up significantly in guage. If you've got a tremolo on your guitar, you'll have to add the springs to the list of things to check.

A friend of mine has an old acoustic with a neck like a boomerang that he keeps in the corner as a visual aid for anyone who doubts it... ;)