You want to set up the jig based upon the material that your drilling. The thickness setting on the Kreg jig is designed so that the screw exits in the middle of the stock. For the screw length, I would choose the screw also based on the board you are drilling. The jig will place the screw head at the proper depth so you'll have plenty of screw threads going into the other piece.
However, you'll need to be careful when going from the thicker board to the thinner board. You want to make sure the screw doesn't pass all the way through the thinner board.