Thanks to its new Bluetooth Low Energy module, the S Pen can interact with your phone from up to 30 feet away. The first thing you'll want to do is make sure you set your handset to alert you when you've left the stylus behind. By default, this is activated, but if for some reason yours is disabled, go to the Removal section of the S Pen settings (search for "S Pen" in settings, then go about halfway down the page) and slide the Alarm toggle to the right.
While you're here, you should also choose what the phone does when you slide the S Pen out of its slot. By default, doing that opens the Air Command suite of tools on the phone, which is something I found annoying. Now that the S Pen is my remote control, I'm not usually looking to write a note or sketch a friend when I remove it. I generally want to take a quick picture or even use the stylus as a cursor instead, and the Air Command interface gets in the way. You might even prefer it if removing the S Pen did nothing. Or if you're someone who only uses the S Pen to write notes, then set this to "Create note."
In fact, if you don't want to use your stylus as a remote control at all, you can deactivate this altogether by tapping into the S Pen Remote option at the top. On this page, you can not only disable the tool but also delve into deeper refinements.
If you're not a big shutterbug, you can change the app that launches when holding down the pen button to any other app on your phone. It looks like you can eventually set specific actions, too, although none are currently available.
Once you've done that, you should also decide what single and double clicks in compatible apps do. Right now only eight apps on my Note 9 show up in the list with customizable options: Camera, Gallery, Shutter, Media, Chrome, Hancom Office Editor, PowerPoint and Snapchat. In most of these, you can choose from two to five actions for each gesture. For instance, in Media, you can set a single press to Play/Pause, Skip or Do Nothing. It's not the largest set of choices, but hopefully we'll see more developers incorporate this feature with time.
All the default options here are pretty useful, so I wouldn't change most of them. I do recommend tweaking the single-press action for Chrome though. Instead of using it to go back a page (which is easier with the on-screen button), you could set it to scroll down instead -- handy for, say, reading recipes in the kitchen without smudging the screen.
You should come back to this page every so often, or after you install new apps, to see if more integrations are available. When you're satisfied, go back to the S Pen settings page and go to "Unlock with S Pen remote." This is not something everyone will feel comfortable enabling. It will make it so that you can unlock your Note 9 by pressing the S Pen button. It's useful for when your phone's fallen asleep during a long presentation or selfie session: You can wake your handset without having to walk over to where you left it.
But there are security issues: Someone might be able to use this to access your personal data if they have your phone and the S Pen. To be clear, you'd have to have been using the S Pen as a remote control for this to work, which requires the phone to already be unlocked. It also doesn't work when the S Pen is out of power. This means there are very few, specific instances when this can be exploited -- but it's still potentially dangerous.
To mitigate this, only turn this setting on when you think you'll need it -- like right before a long presentation, for example. Disable it as soon as you're finished.