You can find it in the "Local Settings" section in the settings. If you are on mobile, you have to scroll down from the settings block. Also you may need to clear caches.
Note:
These options are kept on the device and are not synchronized between devices.
All the nsfw thumbnails are blurred, and there's no setting to un-blur them.
The post photos used to expand when scrolling down my home feed, but they don't anymore, and I have to click on each post, then click on each photo to view it.