Depends on where we're anchored. If we're alone off a beach, I set it quite large, as there's nothing really to worry about, I just want to be woken up if the boat is drifting off the beach entirely.
In a full anchorage with other boats close by and things to hit all around (Cala Teulada), it has to be set quite tight or it's useless. You may have to live with some false alarms.
False alarms are usually caused by GPS losing accuracy, which can happen occasionally, and more often if you're near tall buildings/cliffs/forests as they tend to obstruct part of the GPS satellite signals (or reflect them). Make sure your GPS sensor is in the right location (clear view of the sky and no metal overhead). I've seen boats with the GPS mounted on the deck under the pushpit and bimini rails and unsurprisingly, they had lots of problems with losing GPS signal entirely all the time.