It is a personal preference.
If you are walking alongside people who are using a magnetic compass you may choose to set it as magnetic, if your new generation Garmin GPS Device has an electronic 3 axis compass the bearing displayed automatically changes to suit any magnetic declination as your GPS device with a Satellite lock knows you location and adjusts for any magnetic declination.
This bearing can then be given to the person using the magnetic compass.
If you set it as true north the GPS Compass will match True north Grid lines on your Paper Map.
The heading setting on a new generation Garmin Handheld unit is normally found from your Main Menu - Setup - Heading - North Reference.
We have many more tips and training videos to get you going with your Garmin Handheld GPS device and Garmin's Basecamp planning software on our Online Training Resource - More info here
Buy and learn from the experts - GPS Training