The smallest anyone will normally do is 18G for earlobes usually when guns are used, 16-14G for most other piercings, and 12G or bigger for most genital piercings. The higher the number, the smaller the thickness. It’s definitely best to get whatever the piercer recommends, and only ask to change if you want it thicker. Depending on where your piercing placement is, there’s a not-fun thing called the cheese cutter effect, which is when the piercing is too thin and the movement of it starts wearing away your skin (It technically doesn’t “cut” it and it sounds worse than it is, but over time it starts to wear through the skin and at some point there will be no more skin to wear through).
What’s on your shortlist for new piercings that you want?