How to decide best hyperparameters

For some Bayesian PRS methods, how do users decide which hyperparameter values to specify or begin with, such as the shrinkage parameter? Some tools might suggest performing a grid search, but from a method development perspective, how does one decide how many parameter values should be evaluated and over what range? Are there more efficient approaches for users who do not have prior knowledge of reasonable parameter values or estimates of the trait heritability?