My ESP8266's came with a 9600bps default speed (which took me a while to find!) and firmware that supports a new "AT+CIOBAUD" command for permanently changing the speed, as described here:
http://www.electrodragon.com/w/Wi07c#Updates
I'm also a bit frustrated by the state of the documentation (and I guess the implementation as well.) It feels ... primitive. Not that that's necessarily bad, since my general impression of most wireless modules is that they're horribly over-specified and bloated. It will be interesting to see what happens.