I don't own any XDs or XDMs, but I do own and carry both large frame and compact frame semiautos of the same type (1911s), and a pocket gun. I also own a Keltec P3AT, which is, for all practical purposes, the same thing as a Ruger LCP.
I almost
never carry the Keltec. The reasons, in no particular order, are 1) low capacity; 2) unreliability; and 3) an anemic cartridge. I only carry this pistol when the deepest concealment is necessary for sartorial reasons. I rarely ever place myself into that kind of context. Yesterday, at a local chamber of commerce monthly luncheon in a semi-formal context, I wore boots, jeans, a nice untucked collared shirt, and a full sized M&P 45 in an OWB holster. Nobody was the wiser, so you can see that the need for me to carry the tiny Keltec is almost non-existent.
That said, I often have the need to carry a smaller gun than my small frame 1911 - something pocketable - either for reasons of personal comfort or concealability. My personal choice is a snubbie revolver. That offers the chance for a caliber/capacity compromise - something not possible with the Keltec. Snubbies are available in calibers stout enough to offset the lack of capacity to some degree. I chose one in .357 magnum. The round I carry in it - Hornady's Critical Defense 125 grain .357 load - delivers 1200 fps and 550 ft-lb at the muzzle from a 2" barrel (data obtained by phone from Hornady). For me, that kind of power (which exceeds any of the .45 ACP loads I carry) makes up for having only 5 rounds before needing a reload. (
GunBlast.com, scroll to the bottom for the author's perspective.) And while a revolver is not completely immune to malfunction, it is far,
far more reliable than a dinky little .380. Also, although shooting .357 through a lightweight snubbie is an impressive experience, it is not anywhere near as terrifying and difficult as some would have you believe. I found it quite easy to snap off 5 quick rounds of the above mentioned Hornady ammo at a steel plate from about 10 yards or so, and hit the plate with all 5 shots. That ammo is also loaded with a reduced flash powder, so blinding yourself at night is not nearly such an urgent concern.
All of this is to make two recommendations:
1. Between the smaller XD and the LCP, get the XD. It will fulfill
almost all of your deeper concealment needs, without the reduced capacity and anemic cartridge of the LCP.
2. If you come to the determination that the smaller XD is not the right choice for you, get yourself a snubnosed revolver, preferably in .357 magnum, but at least a +P rated .38 Special. Even the .38 Special in a standard pressure is a better round than the .380.
That's just my 2ยข. YMMV.