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Choosing a shrinkage method can be done by selecting a penalty from a list of pre-specified penalties or by constructing a penalty based on the data. If a list of penalties for a class of linear models is given, we provide comparisons based on sample size and number of non-zero parameters under a predictive stability criterion based on data perturbation. These comparisons provide recommendations for penalty selection in a variety of settings. If the preference is to construct a penalty customized for a given problem, then we propose a technique based on genetic algorithms, again using a predictive criterion. We find that, in general, a custom penalty never performs worse than any commonly used penalties but that there are cases the custom penalty reduces to a recognizable penalty. Since penalty selection is mathematically equivalent to prior selection, our method also constructs priors. The techniques and recommendations we offer are intended for finite sample cases. In this context, we argue that predictive stability under perturbation is one of the few relevant properties that can be invoked when the true model is not known. Nevertheless, we study variable inclusion in simulations and, as part of our shrinkage selection strategy, we include oracle property considerations. In particular, we see that the oracle property typically holds for penalties that satisfy basic regularity conditions and therefore is not restrictive enough to play a direct role in penalty selection. In addition, our real data example also includes considerations merging from model mis-specification.