The size of set screw you want to use will depend on the project at hand and the bracket you are using. Too long and you'll go all the way through your shelf or it will stick out the bottom, too short and it could fall into the void between the male and female bracket. Aligning your brackets against each other before installing them should give you a good idea of what length you're looking for. Looking at the thickness of your finished shelf should give you some idea of how long a set screw you need.
Looking for different sizes of set screw than the standard one we generally include? You can see other options here.