To improve something, you have to measure it first.
That goes for your money as well.

Page 6 of: A Step-by-Step Guide to Acoustic Steel String Guitar Setup, by Thomas Becker   about me  

Setting the Saddle Height

When it comes to adjusting the saddle height, there are two schools concerning the way the measurements should be taken. The twelfth-fret school will tell you to just measure the gaps between the strings and the twelfth fret. The thirteenth-fret school will tell you to put a capo on the first fret and then measure the gaps between the strings and the thirteenth fret. It should be clear that both ways will give you meaningful, reproducible results. The only thing to be kept in mind is that one and the same saddle height will give you slightly lower readings at the thirteenth fret with a capo on the first fret than at the twelfth fret with no capo. Hence, you have to stick with one way of doing it. Moreover, once you've chosen your affiliation, you cannot use the numbers of someone who belongs to the other school.

If all you do is adjust your saddle height, and you don't care much about the other aspects of your setup, then any of the two schools is as good as the other. However, if you want to follow my complete procedure and end up with the right neck relief, saddle height, and nut slot depths, then you very much want to go with the thirteenth fret school. The reason is that the twelfth fret measurement will change when you do your nut slots. The thirteenth fret measurement, on the other hand, is independent of what goes on at the string nut because of the capo on the first fret. That way, none of the steps in my three-step procedure will affect the result of any earlier step, and hence, no backtracking is necessary.

So what are the right measurements then? That depends entirely on your playing style, the strings you use, and, to some extent, the individual guitar. What you want to achieve, of course, is to have your saddle just barely high enough so that you don't get any buzz except in those rare cases where you actually want it for effect. I really shouldn't give you any numbers at all and let you find out for yourself instead. For what it's worth, here's a set of thirteenth fret clearances that many people find just about right:

.100'' .095'' .090'' .085'' .080'' .075''

Please note that these are values that will guarantee buzz-free playing for almost any guitar and playing style; if your playing style is on the soft side, you may be able to subtract .010'' or more from the values in the table above.

On many guitars, you can get away with less clearance for the high E string. Therefore, you'll often see clearances like this:

.100'' .095'' .090'' .085'' .080'' .070''

For my playing style, I find that I need a little more clearance on the B string. Therefore, my settings typically look like this:

.100'' .095'' .090'' .085'' .085'' .075''

Very important: When you measure the gap between a string and the thirteenth fret, make sure that your guitar rests on the back of its body, while the entire neck, including the headstock, does not touch the supporting surface. If the guitar rests not only on the body, but also on the headstock, that will be enough to bend the neck slightly forward and render your measurement irreproducible and hence useless.
Unless you are detemined to make your own saddle from scratch and get the optimal clearance for each string, you can probably get away with just measuring the clearance for the sixth string (lower E) and let the others take care of themselves. Here's what you do: order a bunch of ready made saddles for your particular guitar model from the manufacturer of your guitar or from a lutherie supply store such as Stewart-MacDonald. Start with one that's too high and work your way down by sanding it off at the bottom. What you want to achieve is to lower the saddle uniformly without changing the relative height of the strings. That way, you'll end up with your personal preferred absolute height and with the manufacturer's relative height of the strings.

If you have a precision tool such as Stewart-MacDonald's Sanding Station at your disposal, then it's a cinch to sand off the bottom of the saddle in a uniform manner. If you have to rely on manual sanding, then this is a little tricky. You will almost certainly inadvertently angle the saddle as you sand off material at the bottom. An easy way to check and correct as you go along is as follows: Make sure that you start out with two saddles of the exact same height and shape. As you go along lowering one of them, keep putting it on a level surface right next to the other, unmodified one. Place the lower one on an appropriate blade from your set of feeler gauges to make them the same height. A very precise way of checking for equal height is to take a third saddle and center it horizontally over the two saddles whose height you compare:

By sliding the horizontal saddle from one end of the two vertical saddles to the other, you can now check whether the heights of the two saddles are the same all across, or if you have angled the one you're working on. If that's the case, you can now counteract with your sandpaper until the angling has gone away.
As you take material off the saddle's bottom, you also need to make sure that the saddle does not lean forward or backward. This can be checked by placing the saddle on an even surface and then using a right angle ruler to check if it rises from the surface at a right angle:
A forward leaning saddle
A saddle that does not lean
Here's what I do when I need to make a saddle lower: I clamp a piece of sandpaper to a level surface and then run the saddle back and forth on it, turning it frequently to make up for any directional prejudice that my hand may have when exerting downward pressure. To prevent leaning, I place a 1/8 inch saddle blank on the sand paper and press the side of saddle against it, thus keeping it vertical relative to the sand paper.
If you're going to make saddles (or string nuts) from scratch, you want at least a small vise such as Stewart-MacDonald's Nut and Saddle Vise. The Porsche of nut and saddle tools, of course, would be their Sanding Station.