They may have to go to the settings application, depending on how you do it.
See this document, the Applications Preferences section. Here's the relevant section from the introduction:
Adding your application preferences to the Settings application is most appropriate for productivity-style applications and in situations where you have preference values that are typically configured once and then rarely changed. For example, the Mail application uses these preferences to store the user’s account information and message-checking settings. Because the Settings application has support for displaying preferences hierarchically, manipulating your preferences from the Settings application is also more appropriate when you have a large number of preferences. Providing the same set of preferences in your application might require too many screens and might cause confusion for the user.
When your application has only a few options or has options that the user might want to change regularly, you should think carefully about whether the Settings application is the right place for them. For instance, utility applications provide custom configuration options on the back of their main view. A special control on the view flips it over to display the options and another control flips the view back. For simple applications, this type of behavior provides immediate access to the application’s options and is much more convenient for the user than going to Settings.
Update
The link has expired. This is a similar document on Settings bundles.
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