All depends I guess on what your choke/gun shoots best?
With Lead shot, I would go with #5's, more powerful than #6's at the longer distances, and better patterns than #4's. I would love to shoot #4's but never found a good choke that patterns them well at 40 yards?
With Heavy-shot, since the pellets are much denser than lead, you could go with a smaller sized shot. I would say #6 would be a good choice along with #5's.
I know that they make #7 sized shot, but it's mainly for filler in the Blended loads. If you keep the shots at 35 yards and under, they would work well, it's at the longer shots they might run out of steam?