When it comes to choosing a needle for paper embroidery it is really a matter of what works best for you. If you have a range of needles in your sewing box then the best thing is to try them to find which one you like best.
It will depend to some extent on the size of the holes you are pricking and the type of thread you are using. The size of pricked hole will vary with different pricking tools. I like to use a Pergamano pricking tool which gives a smallish hole. I find that a Number 10 embroidery needle works well with this. It allows the needle to pass through the hole with a slight resistance, thus stopping it falling through. If your needle slips through too easily there is a danger that it could slip and fall off the thread. Then the hunt is on to find the needle.
On the other hand if the needle is relatively large so that there is a lot of resistance passing it through the hole you will soon get sore fingers.