The Current rating on the motor is the maximum per phase and for this reason it's important not to exceed other wise over a time period damage to the windings will occur.
When your choosing a current setting what your effectively doing is setting a current limiting resistor because of how voltage affects steppers.?
In a very simplified explanation, Steppers require many times more voltage to achieve speed than the motors rated voltage, the down side being this voltage increase draws much more current than the motor windings can handle. Modern drives use chopper circuits to control this but still need some form of control and that's what your doing when setting the switches.
So like M_C says if you can't select the exact current to match the motor rating then choose the next lowest. Going too low, while producing less heat will also produce less torque so don't choose the lowest setting either other wise performance will be affected.
99% of time the next lowest works fine with very little loss in performance.

For best performance wire the motors in parallel set the drive current to near has possible motors rating and supply with good amount of volts, approx 20 times the motor rating is a good conservative amount, with 25X being the Max. Do this and you shouldn't have any issues with speed or heat.