I often carry a Ruger LCP (380) for daily wear. For church, I’ve settled on a Glock 27 - 9 rounds of 40 S&W - as my minimum. I consider churches to be high threat zones. Kind of like movie theaters used to be.
What about penetration risks? One of the things in my mind has always been collateral damage. I really do not want to see one of my brothers or sisters in Christ getting hurt or killed because the round over penetrates. (No sarc intended)