I also commented in your THR post, but I'll expand a little here. While I sometimes carry a Beretta M85FS "Cheetah" in .380, I more often carry a compact 9MM like an HK P7 or CZ PCR.
9MM is less expensive for practice, and a better round. There are also a new batch of slimmer, smaller 9MM's on the market. The Walther PPS, S&W Shield, and offerings from Kahr come to mind. If you want small, that is the route I would go.