In general, it is good practice to set the current limit before connecting the motor because some motors can draw more current than the driver can deliver. Since you are using the stepper motor at its rated voltage, you should be able to set the current limit to be greater than the current ratings for your stepper motors because the motor will only pull up to the rated current at that voltage. However, if the current limit is set far below the rated current, you might experience problems operating the stepper motor. In addition, the current limit must be set appropriately if you want to use microstepping later.
Grant