It depends... If your neck has too much relief... which may be the case, you'll want to straighten the neck up... This will pull the strings in closer to the neck... However, you do want a slight (very slight) bow in the neck from about the 7th fret to the nut. Sight the neck and see if it is bowing noticably....

If the neck isn't bowing noticably... then it is infact probably something that needs to be adjusted at the bridge...

Check the truss rod first... because it will be the easiest fix... if everything seems straight enough with the neck... then lower your bridge saddles. Check out www.stew-mac.com for some guitar radius templates for adjusting string height... this will allow you to lower your saddles evenly while still keeping the countour of the neck radius. You'll have to intonate the guitar after either of these adjustments as well...