Setting a bevel means to make the base edge, or the initial sharpening.

This is done by using the lowest grit stone, usually a 1000 grit, from there you will want to work it further up a progression of higher grit stones for further sharpening, for this stage most use stones from 2000 to 8000 grit, and finally polishing using 10000 grit stones and/or higher.

With that said, you don't need to go higher than 8000, you can get a perfectly fine shaving edge on that stage