Hello! There are a couple of factors to consider:
These corsets tend to have a 4-5” rib-spring, and an 8-9” hip spring - meaning the size 38” corset may have the maximum measurements 43” (ribs), 38” (waist), and 47” (high hip). The size 40” corset would have the measurments 45” - 40” - 49” (ribs - waist - hips). So get the size that more closely matches your natural ribcage and hips so you don’t get flesh spillover or pinching.
This video is in the context of sizing down once you’ve closed a previous corset, but you may find it useful in choosing whether to buy the larger or the smaller size, based on your current activity level, your intentions, your compressibility, etc. And of course, if you try one of the sizes and discover that it’s not right for you, they allow exchanges within 30 days. :)