At most grocery stores or coffee shops you can buy your beans in bulk and grind them on the premises. I find that this is the best way to get the right grind. I used to have a small coffee grinder but found that I never could get the right balance between too coarse and too fine of a grind. The coffee shop I worked at would grind beans for cold-press on the "metal filter" setting. At home, when we make hot coffee we use a french press so the coffee I use for this recipe at home is ground on the "french press" setting on the grinder at the grocery store.
For those of you grinding at home, below I have posted an up-close pic of perfectly coarse coffee grounds for this recipe. I put the grounds next to some Grape Nuts cereal for a size comparison.