Have you made the app look for what the Kernel has available? I know with the OverClock widget, it is under Advanced Settings > Use your frequencies. I believe in setCPU, you need to define the frequencies in a text file in the root of your sd card. You can find the frequencies in setCPU on the INFO tab. Scroll down and you will see the freq's and the time spent on each freq. I would suggest not going over 768, if stability is important. I think the newer version's have an auto-detect feature, which allows the app to look at the kernel for speeds.
Also, don't tell the app to set the frequency on boot until you have tried the frequency and are sure it will not boot loop immediately, or else you will need to re-flash a stock kernel, a ROM that has a stock kernel in it(currently only ThundeRom), or a Nandroid backup.
All of this hinges on the kernel supporting the speeds, of course.