Paul:

The answers are in the above posts. Playing straight harp? The key stamped on the instrument should match the key the band says it is playing in. Playing blues or cross-harp? The harp should be the subdominant of the key the band is in -- that is, if the band is in E, the harp should be an A harp. Or, to put it the other way around, the cross-harp player plays the dominant of the key the harp is marked as. So the A harp plays A when played straight and plays E when played cross-harp style.

A