First, don't think of Small vs Large as referring to the physical size of the speaker. It really means send the speaker a full range signal (Large) vs send the speaker only the frequencies above the xover (Small).
Normally you want all speakers set to Small if you have a subwoofer. If you set the xover to 80 Hz (THX standard) then the speakers will get roughly 80 Hz and above and everything below that will go to the sub. The idea is that the subwoofer is far more capable of dealing with the low frequencies than the other speakers.