First off, not all kefir grains are alike. Maybe they're all descended from the same family tree long ago, but kefir grain activity will change significantly even in the same house from season to season (due to temperature and other environmental fluctuations), and depending on what you feed them (type of milk), and on the feeding schedule. So, in order to maximize your particular desires ("thick," "sparkly," more alcohol, etc.), you'll likely have to do trial and error a bit with your batch.
Anyhow, your main question is about straining. And there it really depends again on what you're looking for. You are correct that kefir does spawn tiny grains that break off and gradually become stable encapsulated "baby grains" over time. If you use a strainer with big enough holes, it will let a lot of those go through. Whether or not this is a problem depends on what your intention is with those grains.
When I first experimented with kefir, I strained through a relatively fine mesh strainer too, because I didn't want to lose all of those grains. I eventually found that all too much work, because rinsing the fine strainer and being sure to get it clean can sometimes be annoying. Also the rough handling during straining can break up your larger grains a bit more (particularly if you have to stir it a lot to strain, as is true with very thick kefir).
Later on, I decided to simply use a tablespoon to pull out the big grains (and just plop them into the new milk), and I don't worry about the "baby grains" any more. Usually in healthy kefir the big grains will often float near the surface, so they're often easy to locate. But if you know how many you have, you can also just dig around for them, assuming you're not making large quantities at a time. The benefit from my perspective is that the remaining kefir stays relatively "intact," so it actually has a consistency close to thick yogurt until you start stirring it. But it's not the ideal method for maximizing alcohol and "fizziness," which often requires intermediate stirring. On the other hand, the few actual grains can grow much larger over time due to the more delicate handling. So you might just have 2 or 3 large grains you use to ferment actively, rather than a bunch of smaller ones.
Anyhow, in terms of straining, it really just depends on your goals. Personally, I don't worry too much about losing the "baby" grains, because I'm not trying to maximize grain production. But if you're trying to grow the amount of kefir grains you have, probably using a fine strainer for a while is the best course, since large individual grains only tend to grow larger over longer time spans.
EDIT: One last thing I thought of -- if you use my method of just pulling out the largest grains with a spoon or something, realize that sometimes you'll have tiny grains or even occasional larger bits that broke off of the big grain left in the kefir. Some people find it unpleasant when eating or drinking kefir to encounter a grain, which is generally rubbery and somewhat slimy, sometimes extra sour, and sometimes has an odd flavor. If you want to avoid that experience completely, you'll have to use a relatively fine strainer.