To focus the finder scope (at least on my SW Dob):
First you need to loosen slightly the black large end piece (locking ring).
Then the finder scope focus can be adjusted by rotating the the next inner ring.
This is a threaded ring that holds the primary and rotating it moves the primary.
Once focus is achieved, retighten the outer locking ring again.
In relation to your eyepieces:
Magnification is calculated by dividing the focal length (1250 for your scope) by the number on each eyepiece.
So your 25, 16 and 9mm eps will produce magnifications of 50 times, 83 times, and 138 times respectively.
This will be very noticeable on any object, except stars - which will still look like one pixel of light even under higher magnification.
Depending on "seeing", you may not, sometimes, be able to focus the higher power ep sharply, this may also account for a similar (defocused) look?
When the moon gets closer to 1st quarter, have another look, especially along the terminator (the line where the moon goes from light into shadow). That is where the best profile can be seen due to longness of shadows. Expect to WOW.
Jupiter (and Saturn when up) should be best viewed with you 9mm when seeing improves. These (like most objects) are best viewed when higher in the sky, due to less atmospheric disturbance.
The DSO's mentioned by Simmo should provide pleasing results and a good start.
Do you have a planisphere, or a night sky map of some sort?
Additionally, The Free software Stellarium is valuable to find where objects will be located in your night sky.
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