Congrats!
+1^, it depends on your system and preferences.
A BIAB brewer has different requirements (finer, bag is the filter) than a brewer who uses a HERMS/RIMS or fly sparges and relies on the husks to keep the grain bed from plugging up.
A regular credit or gift card is around 0.034" thick (they do vary a bit). That's what I used for a long time, but now mill Barley at 0.030". Wheat, rye, flaked goods and other small kernel grain get 0.024". An American Express junk mail card is a good gauge for narrower settings. You can always sand them down a smidgen.
Forgot to say, I mash in a converted cooler with a C-PVC manifold and batch sparge 2x with equal volumes. Mash efficiency is 80-85%. I only need to use some rice hulls when the grist contains a large percentage (>40%) of wheat or rye. Don't mill the hulls!