There's no rule or procedure. Ideally you know a number of friction hitches and pick the best one at the time :-) I think the Prusik's the best one to learn first due to it being fairly bullet-proof and most general-purpose even if other knots are preferable in particular circumstances.
My only problem with Klemheist is I have to think about which way I want it to go :-)
SIS10 requires the Prusik knot for Level 1, Prusik and French Prusik for Level 2; Klemheist is in neither. In my humble opinion, the French is the lest useful of the three - you need "just the right length" loop - Klemheist seems to me to be the preferred directional friction hitch.