There is no "setting" for it...
At the upper right corner of a Safari window (or any window that supports Full Screen App mode), you should see a pair of arrows (that point outward). Click that to make it go full screen.
The full screen is actually a separate Space. You can move back and forth between it and your regular Desktop Space, using Mission Control (or by "swiping" if you use a trackpad).
To take the window out of Full Screen App mode, move your cursor to the top of the screen, to make the menu bar appear. At the right end of the menu bar, you should see a pair of arrows (that point inward). Click that to make to make it a regular window again.