Well, if you do want to make your own version, I strongly recommend that you do something like what we did; the "first session" actually had no gameplay, but we spent hours just making things up about the city and the characters.
Feel free to have your own answers ready, but remember that your primary goal is to create a working cohesive vision that compels you and your players. A few good questions to ask:
-what words or phrases describe the setting?
-what is definitely in the setting?
-what media (film, comic, book, tv, etc.) inspires this setting?
My group's answers to the first one were great, and gave us a wonderful jumping off point for talking about geographic features, thematic places, etc. Here's the list:
-sprawling, crowded, metropolis
-tidal estuary, London?, coastal, port, river
-huge, really old
-councilors, republic & oligarchy (vestigal royalty)
-elevation change, river comes out of hills
-several universities, a magic university
-bureaucratic [the entire Council is on top of the Captain of the Watch]
-ambitious bureaucratic underlings (who don't want to work as Captain o.t. Watch)
-5 quarters of watch: North, East, South, West, River
-new 6th quarter: underground
So, of course, I had to ask why the Underwatch had been created. There had been some incident that really pissed off a council member but that the normal watch had refused to investigate, claiming that the areas below ground weren't zoned as belonging to any particular quarter, and therefor were not part of their jurisdiction (no one wants to go underground, it's just too frickin dangerous).
So the council created a new watch, specifically meant to deal with underground threats. The pissed off councilor did his best to empower it, and several other councilors tried to cripple it so badly that it couldn't possibly succeed. Members of the watch couldn't be forced to shift to the Underwatch, but every quarter had to put forward a minimum of ?five? volunteers. The worst miscreants from each quarter were "volunteered," and the ambitious 3rd Lieutenant Marlow stepped forward to accept a promotion to Commander (skipping a few ranks).
I give you that background, because this was all stuff that we came up with once we had the basic setting in place. Each character established their bonds (we did char. gen. after making the setting), and we created elaborate backstories for everyone, finishing with the reason why they had ended up in the Underwatch. It really worked beautifully.