DC power supply and cell phones
No, grounding (to mains earth) is not necessary - the cell phone is not referenced to earth under normal circumstances, so using the (isolated) bench supply will be just like using a battery.   

You need to set the voltage to whatever the cell phone expects (i.e. the nominal battery voltage) If it used a Li-Ion battery then the 3.6V setting should be okay.
The current setting just needs to be set to anything above the phones current requirement, the phone will only draw what it needs. If you want to be extra cautious, you can raise the current gradually to just enough for it to work (i.e. equal to the operating current, not above) Then if there is a fault (e.g. short) you will be able to see it (voltage will held lower than normal) and it is less likely to do damage.  

For the exact operation procedure for your supply, read it's manual thoroughly (if you need more help with this bit tell us what exactly you are unsure of and provide a link to the manual)