How should I set my sample rate?
According to the sampling theorem, it is impossible for a digital recorder to properly record any frequency higher than half of the recorder's sampling frequency (called the Nyquist frequency). Any information above the Nyquist frequency is therefore removed in the process of recording.
Note that the file size of recordings scales directly with sampling rate, so it's not necessarily a good idea to choose the highest sampling rate available on your recorder. Determine the highest frequency you are interested in among your species of interest, including harmonics, and choose the lowest sampling rate greater than twice that frequency in order to save on storage space.