You can take a ship during setup.

However in your first action (first cycle of the 1770s decade) you cannot use the ship as an action, because you do not have a contract. To take a contract you must use an action "stock exchange" (note: the stock exchange symbol during the setup in 1760 is ONLY for selling shares!). But you can use it during the production phase.

If you use the stock exchange action in your first action you may acquire one or more contracts (and if you like another ship as additional action). If you take a contract for food, you can use your ships right in the first production phase of the game. However, you will not be able to use both ships, because you will not be able to produce 4 goods immediately (and have a contract).

Thus, when taking a ship during setup phase, it is usually a good idea to calculate with 2 goods of food to be shipped to india and a stock exchange action in the first cycle. Since the stock exchange action allows you to take a ship as additional action anyway, it is usually more efficient to take an interesting development tile during the setup phase and take the ship later. Be aware that there are enough ships with capacity of 2 for each player and is not very likely that one player takes two of them during setup phase and first action (however, it is possible and you are not able to get one if you are sitting last).

A good regular start is in my opinion:
Setup with food factory price 7£ (appeal 1) and another factory of our choice.
Setup tile: Office (plus 5£ when shipping to india).
First action: Stock exchange with contract for food (2 goods) and the other factory.
Additional action: take ship with capacity of 2.
Production phase: you sell one food on the home market (7£ price = 7£ income).
Ship 2 goods to india for 8£ each = 16£, plus 5£ for office.
Total income 28£. Costs for workers depend on wage (app. 3£ each = 12£)
Net income first production phase 28-12 = 16£.
Share value +1 for selling one food in home market, -1 for one ship used. Total net: +-0.

Compare to full focus on home market:
3 goods sold for 5£ each => 15£ income. Costs of 12£. Net income 3£ (but plus 2-4 on share value track!).