Setting the intonation on a cigar box guitar or any guitar usually makes a big difference. Many “normal” bought guitars may not have had their intonation set. Setting this up can make a lot of different to how the guitar plays and feels.
Differences in the string width result in slightly different lengths needed so most bridges allow you to change the length on the nut to bridge. Most cigar box guitars have a floating bridge, these are typically things like bolts or tubes, as these don’t allow individual string adjustment you will only need to do the top and bottom strings. If you have sensible string gauges the strings or string in the middle will be fine.This is a good site for getting your gauges right
First tune the string to the desired note required for you particular tuning played open, secondly fret (or place your slide) at the twelfth fret and check your tuning. As this is one octave height you will have to move the bridge until you get the same note as when the string was played open.
It as good idea to check the open tuning every time you move the bridge, eventually you will arrive a position where by you have the same note open as the twelfth fret. Once you have done this for the top and bottom strings you have set you guitar intonation