CraftROBO Blades
As mentioned elsewhere on this site, the CraftROBO comes with one blade holder, one pen holder, and three blade caps. The blue cap is rated for a cutting depth of 0.1mm, the yellow cap for 0.2mm, and the red cap for 0.3mm. The basic idea is to change the blade cap in order to adjust the cutting depth.
My advice? It's better to own three blade sets, and forget about swapping the caps out. First, your blades will last a lot longer, and second, you won't accidentally snap off the threaded plastic collar on the blade set while changing blade caps. Yeah, that happened to me one week into ownership. :P
I bought my spare blade sets and carrier sheets from Specialty Graphics. The prices there are pretty good, and they ship quickly.