You shouldn't need to record with compression, just turn the gain down. Compression is an effect and is generally used to either push an instrument through a busy mix or to control a signal (player or singer) that can't control themselves.
In the old days, signal to noise ratios were important because of hiss etc Not really these days with digital. You don't need to be anywhere near the clipping point of 0db. Experiment with how far away from the mic you are and how high the mic is in relation to your horn.
There are "best practice" guidelines online from manufacturers such as Shure (and thousands of others of course). The only problems with being further from the mic is getting the sound of the room (your reflections / reverb) and this can be nasty - so adjust accordingly.
If you get right on top of a mic you'll be liable to Proximity Effect - a saturation / overload which makes the sound really big and nasty.