If you play on easy, action or tactical, you can change the difficulty level in the options later. If you switch to hard, you would have to hex edit a file in the save folder to reduce the difficulty.
On hard some opponents are doubled up in number, so you get more experience and can level faster, which can counteract the increased difficulty. Also, when leveling each character has a 30% chance of getting an extra skill point.
When you start a new game on easy, you get 2 skill points to start; on action you get 1, and none for tactical or hard. If you want you can start on easy and then increase it.
I started and played on tactical. There were some challenging sections, but nothing a change of tactics, equipment upgrade or doing things in a different order couldn't fix.
