Personally, I would opt for 15 - 20 yards for sighting and I would practice at the shorter distances to see were the impact is going to be on the target when fired with it sighted at the longer distances.
IMO, because of how close the threat is, anything 10 yards and under is going to be a hurried situation and a point type shooting style will most likely be used and the laser will be of little benefit.
I'm confident with my LCP at the closer distances. I have no doubt that I can get all my rounds into a man size target at the 10-12 yard range. My concern would be with the increase in distance as I am firing and moving away from the threat.
To me, where the laser offers the greatest benefit is at the longer ranges especially when using a short barrel and the smaller round that is typical of the LCP and the P3AT.