Around the 0.040" seems to be close for most grains.
A lot of guys (and girls) put their grain through twice with a two roller mill.
The first crush is wider just to crack the husk and the second can be around the 0.040" gap to achieve a crack without tearing the husk.
A couple of fellows slightly dampen their grain prior to it going through the mill to help prevent the tearing of the husk.
I would just give it a go and see - grab a half a kilo or so and experiment.