I leave the Barley Crusher gap @ ~.035 for barley, wheat & rye. I always mill wheat & rye first and mill it twice before milling the barley. Seems to work okay.
I brewed a rye pale with 2lbs of rye last weekend. I did the same thing and ran the rye through twice, seemed to crush it just fine. My gap is a barley crusher at factory setting which is .039 or something like that.