I always go for one size smaller than I actually wear. That allows for there to be space between the compression shirt and anything else you wear for modesty/warmth. That space allows the sweat to wick away.
I wear a size up in compression shirts. I don’t use them for working out, but rather underneath my uniform shirt to wick sweat away. Since I work 12 hour shifts, if the shirt is too tight it begins to chafe under my arms from normal range of motion.