I believe he's speaking about a mobile app not a website so not sure if that can be applied.

You can always use flags somehow just trying not to make it disgusting in terms of design, this'd be representative of a select language. But I guess that it works when you have a few options more than a lot of languages to choose.

Yep that's a good option.

Adding it as a 'set up' first time the user uses the app but keeping it in the settings menu for later changes, maybe? does it have any kind of walkthrough or sept up?

Had the same problem few days ago but I didn't found how to do it. Would be great if someone shed any light on this.

I like how FI does with Case Studies, even though it can be too large sometimes:

http://www.f-i.com/work/all