When deciding on my pocket-pistol choice, I chose the P32 over the P3-AT for three reasons: lighter handling and recoil, which allows for faster follow-up, a last shot slide-lock, and an extra round in capacity. I bought my P32 in June of 2011, and have pretty much always had it with me since.
Initially, I loaded it with Winchester flat-nosed FMJ because that was what was readily available locally. However, I did have an incident of rimlock the first time I had the gun at the range (the day I got it.) Rimlock can happen with the .32 round, especially in an unmodified Kel-Tec magazine, when the rim of a round gets caught behind the rim of the round beneath it. This is rare, especially if care is exercised when loading the magazine, but it will lock up your magazine if it does happen. It's a possibility because the magazine is long enough front-to-rear to allow the rounds to shuffle slightly if they are shorter.
For that reason, I switched to "full-length" .32 FMJ ammunition. The European loads seem a tick hotter, so I use either Sellier & Bellot or Fiocchi ammunition. One could always choose JHP ammunition (the Fiocchi Extrema 60-grain JHP is highly respected) for the chamber and #2 rounds (first one up in the magazine), followed by FMJ, but I have not done so. I did just purchase some JHP Fiocchi ammunition, but it's for my Seecamp pistol, which will not accept full-length rounds.
FMJ ammunition is known to be perfectly capable of meeting, or even exceeding, the penetration standards most shooters desire in a self-defense application. When HP ammunition in these smaller calibers expands, it often fails to penetrate quite as far. Incidentally, you're asking in February, during a time in which heavier clothing worn by an assailant may be a concern; penetration will be key.
Ultimately, your choice will be largely dependent on what you can afford to test sufficiently, source readily, and can score effective shot placement with. For how self-defense shooting incidents typically play out, I'm comfortable with my decision to stick with a known load using FMJ bullets. I carry the P32 in a pocket (using a DeSantis pocket holster) with its seven-round magazine in place, an eighth (okay, first?) round in the chamber, and a spare, ten-round magazine in my jeans watch pocket, hidden behind my cellphone case.