Nice Gaggia you've got. A coffee geek like you should own one like that.
The grinder I got is a Krups GVX 242. On the finest setting I am getting quite a fine grain. My friend Alessandro was here a while ago and approved of it.
Yeah, I got that machine as a wedding gift from a group of my best buds. Damn them.
Interesting on the Krups. The grinder itself doesn't look half-bad, though it isn't quite a full-on burr grinder (cheaper models in Europe include things like the Zassenhaus Heidelberg, etc.). That said, you still should be able to make a half-way decent attempt at it.
Note that a good burr grinder isn't just about the small grind size, but it's more about the consistency of the grind. You can pulverize coffee to a powder with enough time in a cheap blade grinder, but the problem is that it will be a shredded, irregular mess if you look at the grains under a magnifying glass.
The thing I've done when breaking in a new espresso machine is not to be shy about pushing it to its limits. That means putting as much coffee in the portafilter as you can, tamping down pretty hard with at least 100 Newtons/30 pounds force, and going with as fine a grain as you can get with your grinder. What you do is essentially try to "choke" the machine so that things are too compacted as to not get any coffee out of it. (Basically, in Greg poop joke parlance, you make your machine constipated.)
Once you find that spot, you dial back on one or more of those variables so that coffee can actually start flowing out of your machine properly. Once that happens, you should have a pretty solid pressure, etc., to make some of your best espresso.