Bigger isn't always better, but neither is quantity more important than quality. I'm sure many of you have seen the video of Trooper Mark Coates of the SCHP. He was killed by a .22 round. His attacker was shot five times in the chest at close range with a .357. Round size is not nearly as important as critical shot placement. Now I'm not saying that larger rounds don't transfer more kinetic energy, but if you can't place those rounds in the correct spot it doesn't really matter if what you're firing.
If you're worried about penetration with smaller caliber rounds, I would use ball ammo. The problem with that then would be that you don't get any expansion of the round like you would with a JHP. There are rounds out there, like Hornady's Critical Defense, that allegedly address that problem by using an insert in the tip to help with the clogging issue that JHPs face with thicker clothing.
You could always go out and buy a nice 3lb chuck roast, and layer it up with some old clothes.