I don't use the macro setting on the weel, if that's the one you're talking about. But at the moment i don't even have a decent macro lens, so what do i know
However usually i zoom all the way in (55mm) and then go as close as possible. Unfornunatly the standard kit lens to the EOS 400D cant go very close.
As for F-value, you should usually go for a pretty high value, or you might risk loosing focus from the important part of the picture if you move just a very little. However there are no rules without exceptions and some pictures might benefit more of a low F-value. I'd say try the different settings urself and see what happens