Going "up" from 9mm to .40 or .45 sounds nice on paper, but as many here have noted there is a recoil penalty associated with going up in caliber, especially when we're talking about really small guns. Sometimes in these tiny guns, especially with a novice shooter, .40S&W can be a handful. 9mm is easier to control, and no matter what anyone tells you, it's still a very effective self defense round.Thanks for the input everyone. I have a lot to think about.
I know the calibers are night and day difference, but I've found I can find quite a few smaller frame guns in the .380 locally than .40s or .45s. I hadn't considered 9mm since it seems the general consensus from a few people I talked to that going "up" to a .40 or .45 is much more worthwhile for CCW. I still subscribe to the theory that a 9mm, at close range, is going to be effective, and WAY more effective than being unarmed.
There's also the cost factor, 9mm is about as cheap as centerfire pistol rounds get, although to be fair .40S&W isn't that expensive.
If you're thinking IWB, then I don't think you need to look at .380s, most anyone can easily conceal a slim 9mm or .40S&W handgun IWB. When I think .380, I think ankle or pocket carry.
So if I were you I'd focus my search on slim 9mms (of which there is a long list), though there's nothing wrong with going with a .40 either.