Kage, if you like it and it fits your hand well, you're on the right track. Springfield XDs are good weapons, some think they are the best striker fired pistols available.
However, before you buy it, try to rent it and fire it at a range. Try out the different calibers and see which one you like best. With the right ammo 9mm, .40 and .45 are all good.
Personally, I prefer .45 because I find it very enjoyable to shoot and it has a good track record as a fight stopper. I found .40 recoil to be more snappy, .45 feels more like a slow push. It's easier for me to get hits with a .45, so that's what I carry for self defense.
As JD recommended, I'd get a .22 for cheap practice in addition to your SD weapon. It doesn't have to be anything too expensive, just a decent plinker to hone your skills and work on the basics.