Can't disagree about the advice on not changing grid size, but if you really need to do that, just be sure you use a common denominator in the fine/alternate grid setting. That is, if your two major grid sizes are 1.0 and 1.2 mm (example!), then the fine should be 0.2 mm, 0.1 mm (preferred over 0.2, as it allows a center for each major division), 0.05 mm, etc.
There is no practical limit to the number of grid sizes you can use, if that rule is followed. For the fine grid, I use the largest value that will get the precision I need. I have used multiple grids mostly when making packages for new devices. I don't think I have ever seen the need to change grid size when making a schematic.
Edit: The foregoing example used metric as that was the system used with the component for which I had to use muliple grid sizes to get the right footprint easily. It is meant solely as an example of what I meant by common denominator. In no way do I recommend multiple grids or metric for a schematic for the reasons pointed out by Boncuk, below, and myself, above. Since the OP had not returned to the thread, and the discussion had become more generalized, I though adding this small additional hint on using multiple grids might help others who had not done it before.
John