Hi Nick F.,
Of course you would have to change alt setting from time to time (not really all the time, depends on the weather as well)! However, as we were flying under so called "flight following" all the time (another neat service you get from ATC in the states as well -> just another huge topic that works much better over there), they always gave us the alt setting for the area we were flying in! When you enter a new sector the new controler automatically gives you the new alt setting.
Who else is using QFE apart from Moscow?
(I heard also that Alitalia is using QFE for their approaches? It might be just a rumour though.)
Any help is appreciated!