Hi,
You indeed have to set the "access level" setting of the prices in each product.
Note that if you want to do it for all the products at once, you can do so with a mass action.
In the menu System>Mass actions, click on the "new" button. Then, add an action "update the values" on the column "price_access" and use the "string" mode with the value: ,xx,yy,
where xx and yy are the id of the user groups you wish to provide access to the prices. Beware that you need a comma before and after each id, as in my example.
Then, click on the "process" button and it will run.
Note that if you have a lot of products and variants, the "limitations" area of the mass action is configured by default to only process the 500 first elements. So you need to either increase that value (you should be fine with a few thousands), or run the mass action several times, changing the start input by increments of the number of elements processed each time (first time is 0, then 500, then 1000, etc if you use a 500 limitation).