You'll have to watch your cat to see what it prefers; if a cat digs a lot, the litter is likely too deep (or they are young and just playing!) Since I use a relatively expensive litter (SWheat Scoop), and I completely change it weekly, I try to conserve how much I use, but also make it attractive to my cat(s). As you can see from the photo below, I use about a 2" depth.
If your cat is urinating outside the litter box - that can tell you a lot about how deep to make the litter too...if your cat is urinating on smooth surfaces (tile, sinks, hard floors, etc.) it will prefer more shallow litter depth. If kitty is urinating on soft surfaces (carpet, clothes, etc.) it may prefer a softer, more deep litter. And there are going to be more issues contributing to those inappropriate urinations - so give me a call if you are continuing to have trouble.