I agree with the SM directions, but it all depends on your taste. Finer grinding equals less steep time, which reduces your chance of over-extraction of the unavoidable fines you'll get (esp with Rocky). This, in theory, will produce a smoother cup (over-extraction causes bitterness).
If you enjoy a little bit more bitterness, grind a little coarser. The longer steep time required will inevitability over-extract some of the fines (to give it some bite) plus you'll have fewer fines in your cup.
I like about 25 on Rocky, but it depends on the coffee.