Better tight. Loose and they don't hold the heat in. I have an Avery and really like it.
I bought my Avery from Sportsmans Warehouse. I brought the dog in and tired out the size. Find a tighter fitting for sure. Also, if you want to tighten up the neck are or other spots, you can cut the neoprene and use neoprene cement and seal it up. I did this with the spot around the neck, my dog doesn't have a full/thick neck. It worked and keeps it more snug now.