It all depends on your preference. I started with a Mr. Limpy XS and I still use it, though I've bought all-in-ones that were more expensive and supposed to be better. I'd say size would depend on what you're looking for. I knew I didn't want anything too big, but figured that the Mr. Limpy was cheap enough even with shipping that if I didn't like the XS, it wouldn't be a big hassle to upgrade.
I ordered a harness for mine. It is super slim, and I wear it under my underwear. You should get something to keep it in place. A lot of compression shorts made for sports will have a pocket for a cup, you could try that. You could try a jockstrap. You could try a tighter pair of briefs. Really anything tighter than your underwear will help. They do move around a lot if they aren't packed tightly.