I set it at different heights, depending on what I'm doing. For step-ups, I use anywhere from 10" to 14" depending on speed and how much weight I'm using (and just to mix things up). The height that is appropriate for you will depend on your height (and more specifically, the length of your lower leg): your knee should never be at tighter than 90-degrees when you stand and put your foot on the step. Also, when you're starting out doing step-ups, it's a good idea to start on a lower height (10" or 12").
To sit on (and when doing sit-and-stand squats) I will set it at 16" or even 18" (I have a lot of step risers that I had before I even got the mini step...remember, if you have a Club step, the risers will also fit the High Step, so you don't have to get as many risers).