I don't think there's any "should." It depends on what's comfortable for you, what you like to wear, etc. If it's not comfortable, you won't wear it as often. I personally don't like IWB carry; it's too distracting, feels like, well, something inside my pants. And I don't think I can grab it as quickly as an OWB carry, either. I carry my SIG P238 in a small, neat Tagua holster, which can be used as IWB or OWB, with or without a clip. I don't use the clip, it's not stable enough. I thread my belt through the loops and it's rock solid. It's also very compact. Some people like to walk around looking like a commando, but I personally don't care to; that's just me.
Only problem is, it's SO comfortable I have to be careful to remember I'm wearing it, and it disappears under almost anything, even a T-shirt. I have to be careful not to forget about it and accidentally wear it into a no-gun location.
Again, though, it all depends on what works for YOU - how you're built, the gun you have, etc. The holster is at:
http://www.taguagunleather.com/new/insi ... lsters-p27" onclick="window.open(this.href);return false;
Here's a pic:
