It ain't rocket science
Don't be discouraged. Ammunition is not rocket science.
I apologize for loading you up with so much information (and so much of it not appropriate for your original question). Yes, 125 grain JHP in 38 Special +p is a very good round for shooting people or thin-skinned game.
If you are buying over the counter, ammunition is pretty simple. If you are loading your own ammunition, it is no more complex than following recipes in a cookbook.
So, don't worry about grains, grams, ounces and all that if you don't intend to get into reloading.
For store-bought ammunition, pay attention to just four things.
1 what your gun is intended by its manufacturer to shoot
2 bullet weight
3 bullet velocity
4 bullet construction
The major ammunition manufacturers never tell you how much powder or what kind they use, so don't even consider the powder at this point. Also, they will not tell you the pressure, only that the pressure falls withing SAAMI Specifications.
SAAMI (Sporting Arms and Ammunition Manufacturers' Institute) sets standards for safe ammunition. All commercial ammunition manufacturers follow their guidelines. No worries.
38 Special bullets range from around 90 grains to 200 grains in weight. 357 magnums shoot the exact same bullet weights and sizes.
Pressure inside the 38 Special case runs about 17,000 psi (and is pretty much independent of the bullet weight). That is the pressure the cartridge works at. Lighter bullets get higher velocities and heavier bullets go slower. (90 grain bullets run out the barrel at 1200 to 1300 fps (feet per sedond), 200 grain slugs around 850 fps). (Data is from one of my loading manuals)
Pressure inside the 357 Magnum case runs about 35,000 psi. 90 grain bullets get up to 1850 fps at that pressure and 200 grains about 1300 fps, maximum.
38 Special +p runs around 20,000 psi, but I don't know velocities.
Lighter bullets get driven faster than heavier bullets (at standard SAAMI pressures), so bullet weight will largely determine what velocity you get. Bullet construction and velocity are the primary determinants of how your bullet will perform on its target.
Solid bullets penetrate deep to vital organs. Expanding bullets (hollow points ans soft points) open up a large wound channel. If a bullet is not travelling fast enough, it won't expand.
For thin-skinned game, expanding bullets work best. The 125 grain hollow point you asked about is designed for such. (By the way, people fall into the "thin-skinned game" category) But it is a bit expensive for the target practice you will find necessary. So, buy cheaper rounds that hit to the same point of aim/impact as your primary ammunition for range practice. You will have to experiment around.
So, to address (but not answer your second question, since there is no one correct answer that fits all situations). No, 158 grains is not "stronger" than 125 grains. They each have their particular characteristics. The heavier bullets may produce more recoil though.
If I were shooting at someone wearing heavy clothing, the 125 grain might not penetrate far enough, then not expand when it did. The 158 grain will go deep, but on a lighter-clothed subject might pass through with little damage.
Again, my apologies for overloading my first post with excess, irrelevant and confusing information that did not answer your question. My bad.
Lost Sheep