Which grind setting should I use?

The best grind method depends on the brewing method of the coffee. The primary grind methods are blade grinding and burr grinding. Contrary to the name, blade grinders chop the coffee beans and produce a range of small to large particle sizes. Blade grinders can also take from the flavor of the coffee but does produce fresh ground coffee rather than using pre- ground coffee.

Burr Grinders grind the beans with rather than chopping them. The particle size is also far more consistent than the blade grinders. A standard burr grinder is roughly 5 times the price of a blade grinder but can prove to be a good investment over time. If cost is a concern hand burr grinder are a close alternative to try the method out.  If you're looking to elevate your coffee experience, a burr grinder is the way to go.  This provides consistency and equal grounds for the water to permeate and brew.
The longer the brewing time and how manual your brewing method is, the courser the coffee can be. When the coffee grounds are finer there is an increased surface area, which lets more water come in contact with the grounds. A medium grind is great for an automatic drip brewer, while a coarser grind is better for French press and cold brewing. Finely ground coffee is best when brewing with pour over, espresso (depending on machine you may need an actual espresso grind) or using a Moka pot. 

You want to ensure that the water can saturate the surface area of the coffee before gravity can pull the water through on a chemex, pour over or drip coffee maker.