The gas limit has nothing to do with a transaction confirmation speed. Every smart contract requires a number of calculations to be done when you interact with it. Those calculations are measured in a gas amount. If you set the gas limit, the contract execution process will be stopped once that limit will be exceeded. It allows you to defend yourself against all your wallet balance being used up during execution of some of the bad configured smart contracts.
As it has been said above, wallets like MEW usually sets a gas limit automatically and you don't need to change or set that value.

The gas price is a transaction confirmation speed-related parameter you're looking for. The bigger the gas price amount you set the faster your transaction will go through. You can always check the current recommended gas price at https://ethgasstation.info/. Take the highest amount from there and your transaction will be confirmed among the first.