I'm sure this is listed somewhere and I missed it...

I assume firing at medium and long range gives extra challenge dice to the roll?

Where is this?

Nope, you didn't miss it. It seems that it is just as easy to fire and hit with a weapon at close range as it is at it's maximum range. There is an action card that let's you fire any weapon at one range band further than normal at increased difficulty and some weapons, like the longbow, have this ability built in. Note that the demo had the GM adding for medium range and above shots once the rain storm moved it due to reduced visibility. You are free to add other modifiers for wind, darkness, or other factors as you like, but there is no fixed penalty for range increments.

So,

has anybody tried assigning a 'fixed' penalty (for example a misfortune die) per range after short range? We tried it, and it seemed that the penalty for shooting at longer range seemed not that great. A challenge die on the other hand was too much then, so we are looking for a balance perhaps.

I don't think it is warranted. That's just the advantage some weapons have over others. A Handgun has the same DR and CR as a Pistol. They are both Pierce 1, Unreliable 2, and require the Reload maneuver, but the Handgun costs more and is two-handed. The only reason to take it is due to it's increased range (medium vs. short). If firing at medium range is going to automatically be at a 1 penalty however, you're reducing it's appeal even further.