Short answer: 0.6 to 1 mm deep, with strokes at least 0.8 mm wide, for a 0.4 mm nozzle.
Why: a 0.4 mm nozzle lays lines about 0.4 mm wide. A groove narrower than 0.8 mm can close up, and a groove shallower than 0.6 mm is hard to see and hard to fill with paint. Letters under 5 mm tall often fill in.
Sunk-in (debossed) text has one big advantage over raised text: nothing sticks out. It does not catch on a bag, a sleeve or a small hand. That makes it a good choice for toys and keychains.
Rules of thumb: - Depth 0.6 to 1 mm. Keep at least 2 layers of wall under the groove. - Letters 5 mm tall or more. Use a bold sans-serif font. - Fill the groove with paint, or print the plate in two colors, for contrast. - Raised text is easier to read on flat labels. Engraved text needs a wall of 2 mm or more. - Print a ten minute test piece first.
Shapiful adds raised, sunk-in or engraved text to your own STL, so you do not need a CAD program: https://www.shapiful.com/?utm_source=mataroa&utm_medium=social&utm_campaign=emboss_oct26