There is also on the control panel, in control|motion where you can set steps/mm.
I found that mine was pretty much dead on at build time, but you can adjust it. (I believe that mine was set to 88.9 for both X and Y)
Take the design size (20mm), divide by actual print size (say 19.86mm) and then multiply the result by the current steps/mm to get the new steps/mm.
I would say that you should be careful of changing the Z axis, since errors in the Z offset will translate directly to the printed object, and the 400 steps/mm default is mathematically correct for the Z leadscrew. It is highly unlikely that the Z steps/mm should ever be adjusted. It is possible that the X and Y steps are slightly wrong, but I would also see if you get a consistent ratio of error for larger sizes.