One thing I've found is that the more compact whistles might not always be a good choice for everyday carry due to their durability. I have been carrying a classic Fox 40 on my key chain for a while and while I wouldn't mind a more compact whistle, the classic's durability has kept it around.

I did have one of the Micro Safety Fox 40s on my key chain for a while, but after a month or two the plastic where the split ring goes through the whistle body came apart. I'm not sure what other compact models may have a stronger design, but that one didn't work for me. I've run into similar issues with carrying USB flash drives; the connector to the key ring has to be pretty tough to survive.

Of course I guess it all depends on how it was going to be carried or stored and how rough you are on it. I do still have a Micro Safety in a kit, but I don't carry one.

That said, you can make the classic Fox 40 a little bit slimmer by filing off the extra material from the sides (mentioned here). It is still a bit of a bigger whistle, but it's strong and the minor modification seems to help its size a little.