small cal.'s HP or FMJ

[kt]

summer has me looking at pocket pistols. i am curious with cal.s up to 32 maybe even 380 and down to .22 and .25 do you think perhaps a FMJ might be a better choice for concealed weapons, perhaps the bad guy wears a leather vest or in winter just a thicker layer item, will HP's in these calibers be worth a damn, with these small sizes depth of bullet penetration i would think is the first key. looking other places i have heard conflicting views
kt