RE: 338 win mag ??
If you are talking about "typical" bullets like CoreLokts, Partitions, Ballistic Tips etc then yeah I say go heavier. BUT you asked about TSXs, these aren't your normal bullets. I can promise you that 185 TSX will out penetrate and out perform ANY weight "typicals". If you still aren't sold then step up too the 210s, but I personally would go with the lighter variety.
Welcome too the "new" generation of bullets,
RA