If at all possible, yes. I have a lot of .40 ammo & in the process of getting my carry/conceal. Have an XD-40 but it’s a big gun to put in your pocket.
Revolvers that shoot the .40 S&W round have to use a moon clip since the round is designed for a semi-auto, it’s a rimless cartridge. For a pocket pistol I’d forget about stopping power and concentrate upon small. Stopping power is overrated in a pistol anyway, no pistol round really has “stopping power”. If I was planning on pocket carry I’d much rather have a 25 or 32 ACP that fit in my pocket than a 40 that I had to wrestle with and made me look like John Holmes at a wet T-shirt contest.