The thing about setting the diopter, as some have mentioned, is you shouldn't focus ON the reticle. Your eyes have the ability to focus at varying distances. And it can be hard to consciously control this. That means you can actually set the diopter so the reticle is in focus, but it's not at the "right" focus. If your eyes had a manual focus control, you would want to fix them focused at infinity when you set your diopter. Why? Because that is where they are the most relaxed and free of strain. That means when you're behind the rifle, there is less muscle contraction and less eye fatigue.
Some say to aim scope at the sky and all that. But I've tried it many times and I just wind up focusing on the reticle. You need an object for your eyes to look at. A stark blue or white background doesn't work for me. That is why I told HKDave my method of setting diopter and parallax, that works for me.
I'll do the typical aim at a wall or sky trick and get it as good as I can. Then I'll aim at some distant building out past 800 yards or so. But first I'll look at that building with my naked eye, focus my eyes on it. Then close my eyes, open them to make sure the building is still focused, and then bring the scope up to my eye and see if the reticle is still focused. If not, I'll slowly adjust diopter until it is while my eyes are still relaxed and focused on something at "infinity." This lets me focus the reticle to my eye, rather than focusing my eye to the reticle.
Now... for parallax, I'll get behind my rifle and check parallax at whatever distance. Get target perfectly sharp with parallax control. And then make my eyes focus on the target, so that my eyes are relaxed. Is the reticle still focused? If not, adjust diopter. Check for parallax. Rinse repeat until both target and reticle are perfectly focused. Only need to do this once. After that, you're good to go.
Why do I do this?
Because your eyes can focus on an unfocused reticle, making it appear focused. But as Frank said above, this will cause the reticle to "split" and go blurry at some point because your eyes become tired and strained and fatigued. It's because your diopter isn't set properly but you're forcing your eyes to focus the blurry reticle so it appears sharp. You want to be able to "fall asleep" behind your rifle and look through your scope with a relaxed gaze and still have everything nice and sharp.
We talk about Natural Point of Aim. But nobody ever mentions this includes your eyes. You don't want to be forcing your eyes to focus. This uses muscle. Muscle gets tired. Tired eyes = blurry.
When you've got your scope set up like this, you aren't focusing on your reticle a few inches in front of your face. It should be like you're looking out at the horizon, miles and miles and miles away.