I'm a long-time harp player who just finished a gig playing in the orchestra pit for the musical Big River (based on The Adventures of Huckleberry Finn; music by Roger Miller) so I can pretend to have credentials.
1. Each harmonica is tuned to a specific scale (C, G, D#, etc) which means that it can be played in modes. The most common is cross-harp, which, as already noted, uses a mode based on the fourth of the key the harmonica is in. That means you can play your C harp in F, with the advantage that all intervals remain the same from F major, except that you now have a flat seventh, which is commonly used in blues and rock music.
2. This also means that, in playing in a key in which the harmonica designated for that key is high-pitched, you can play a lower-pitched instrument. For example, for the song "The Crossing" in the Big River score, I played a Lee Oscar Low F harmonica (it's called that because it is pitched an octave below the usual F harp) for a bluesy, mournful sound. I felt that a C harp would sound too whiny.
3. Carrying that a step further, if the music requires it, you can play a D harp (naturally high-pitched) in G, for example, and get that Jimmy Reed howl.
4. Some guys like harmonica belts, but that's not me. I have a Hohner harp case which carries about 10 harps along with a fishing lure box that I keep my bottlenecks, steels, and picks in for Dobro playing. It was quite a contrast walking up the steep steps to the orchestra pit each evening with the small case while the other players struggled with horns, amps, and whatnot. When I go out and gig, I take along a Shure Green Bullet mic on a straight mic stand with a gooseneck and quick-detach connector on it. That way I can leave the mic on the stand or easily pop it off and cup my hands around the harp and the mic.
5. I'm leaving out the other modes because I never use them. There was some material in the Big River score that called for such tricks, but luckily the director wanted a lonesome harmonica sound, and didn't particularly care whether I played as written -- except for the opening of the overture, which starts with a 16-bar harmonica solo (!) and a couple of cues where the harp leads into the song. I did the whole show with 4 harmonicas: the Low F,
a Hohner Golden Melody in A, another in G, and a Lee Oscar in G for a raunchy duet with the Pap Finn character. These allowed me to play in C, G, A, E, and D using straight and
cross harp technique.
6. Go for it. It's fun. AND there's too damn much "Bob Dylan" ineptitude in the world of harmonica playing.