I use pumice screened to within 0.1-0.25 inches, and save the pieces just larger than that for top dressing. When I start seeds I often use pumice screened to about 0.1 inch. For bigger plants I have used pieces larger than my usual cutoff in the soil.
I realize it's hard to find pumice in a lot of the country, so you kind of have to work with what you can get, but my ideal size would probably be about 0.2 inches for most succulents. Less than 0.1 inch may be too fine for some situations. Always consider washing or screening the material if it seems to contain a lot of fines or dust (and wear a mask while handling it if that is the case).
A note about pumice in soil mixes: pumice (the kind processed and sold for use as a soil amendment) changes color when it holds water. It's usually bright white when dry, slightly gray when moist. You will find pumice easier to incorporate into your soil mix if it is moist, not dry, when you add it. It "sticks" better to the soil around it, and the mix ends up more uniform as a result. The pumice I usually buy is premium and it comes already moist in the bag, but when I've used material from other sources I have found it helpful to prewet the rock before adding it to the soil. Not dripping wet, just moist, enough moisture content to make it gray.