I think you should set your VP console elevation to your true elevation, and calibrate your console to match the nearby NWS/FAA station. It doesn't matter if the airport elevation is different. WeatherDisplay should be set to your true elevation also, and should be configured to send altimeter to CWOP.
In my first sentence, I said to calibrate the console to the airport. This will only get you close to being calibrated, but one more step is needed because your console displays sea level pressure and the airport shows altimeter. Sometime when the pressure is relatively stable, write down the airport's altimeter value along with the time the observation was made. Then, look at your CWOP data and see what altimeter value WD sent for you. Note the difference and adjust your console by that amount (you can do this easiest by just using the SET feature on the console itself). For example, if the airport reported 30.12 inHg at 3:00pm, and the altimeter value you sent to CWOP at 3:00pm was 30.07 inHg, then you would bump up the pressure on your console by .05 inHg.
I have found this the best method for calibrating my station so that it send very good altimeter values to CWOP.
Steve