You should install the SQL data base before the ePO installation, then when you running the ePO installation you should point to the instance before created with the SQL installation.
Can I do this with Default MS SQL Express (free MS SQL Express) which ships with ePO?
Also if I run the SQL setup prior to ePO setup, can I leave the default MSSQL instance?
As far as I know you cannot do it with the default ePO, that is why you should download the SQLServer express and install it. You can leave the default MSSQL and when the ePO installation just indicate the instance that you have created before.
changing the database location is absolutely easy going.
1) Install an additional SQL Express instance. (we tested this with SQL 2012 express)
2) Install the SQL Express Management Tools to configure your SQL Express Installation. E.g. logins....
3) In my environment TCP was not activated. Just open the SQL configuration manager and activate TCP.
4) Stop EPO Server services
5) Copy the Database to the new location
6) Add the database to your SQL Server Instance and check the access rights.
7) Start the EPO Server management server. (Tomcat)
8) Open the DB server settings for EPO with your browser: https://myEpoServer:8443/core/config
9) Check the SQL server settings
10) Restart the EPO services
Hope this helps,