I would start by determing how many segments you want in the segmentation. The maximum amount you can have is 20, so not quite enough to do the whole world, but maybe you want to combine territories. I don't know how big your potential customer base is, but maybe combining time zones for the eastern Europe, the ME/Africa, and western Asia if you don't Market there. Really depends on your needs.
But once you decide on how many, create a segment for each and make sure that naming convention is straightforward and self-explanatory for future use. For example, the western time zone could be NA West, or something like it. Then, you will define what you consider to be in the segment with filters. An example would be "State is CA, OR, WA, AZ, NV, ID". Now, every new Lead created with CA as their state will be added to that segment.
It will take some time to get it set up, but like I said earlier, you will not have to manage anything on an individual basis. Just need to make sure you have a consistent naming convention or make the segment filters as wide as possible.
Here are a couple of great articles for your reference, in order:
1)
http://community.marketo.com/MarketoTutorial?id=kA250000000Kyzy2)
https://community.marketo.com/MarketoArticle?id=kA050000000LBEqCAO