should be set with all speakers as "large" and the sub as "on."
You may want to experiment with the speaker settings a little, and see what sounds best to you. Some people with full range speakers may prefer setting speakers to "small" and have a crossover of say, 40 Hz, which lets the subwoofer play the bass punch, because even speakers rated at all the way down to 20 Hz +/- 3 dB (which is pretty good for a speaker) usually can't reproduce 20 Hz cleanly as loud as most subwoofers can, even though they may be fine at reproducing 20 Hz softly. Also if you play sounds through your speakers near their -3 dB roll off frequency, your speakers will be rolling off sound that would not get rolled off if the sound were directed instead to your subwoofer.
Best,
Will