My understanding from experts is (1) not to use +P+ and (2) not to use anything larger than 124 gr.
The problem with +P+ ammo is the wide variances in how it's loaded. You see, a +P or +P+ rating does not refer directly to the velocity of a cartridge, but rather to the maximum chamber pressure. SAAMI (the organization which sets standards for U.S. made ammunition) has set maximum chamber pressures for nearly every common handgun cartridge (and it's European counterpart CIP has done so for most of the more obscure cartridges) and officially recognizes +P designations in .38 Special, 9mm, and .45 ACP and sets maximum pressure limits for these at 10% over maximum standard pressure. SAAMI, however, does not officially recognize the +P+ designation in any caliber, so the only thing it can be uniformly counted on to represent is that the cartridge in question may be loaded over maximum +P pressure, but you don't know how far over. Manufacturers like Winchester and Federal that make +P+ ammunition for law enforcement use typically keep the pressures at 10% or less over maximum +P, but smaller, less reputable manufacturers and those making ammunition for military use may load their ammunition to significantly higher pressure for use in submachineguns.
If you have +P+ ammunition from a well-known, reputable manufacturer who intended the ammo in question to be used in handguns, you're usually pretty safe so long as you only use it in a good quality gun of fairly recent manufacture and only in limited amounts. I personally use Winchester Ranger 127grn +P+ ammunition for carry in my CZ-75B, but I only shoot in in extremely limited amounts and only with an extra power recoil spring installed.
One other caveat to this is that .38 Special +P+ ammunition should really only be shot in .357 Magnum revolvers or extremely strong .38 Special revolvers such as a Ruger Security Six, GP100, or SP101 or a S&W N-Frame such as the old .38/44 Heavy Duty and Outdoorsman. .38 Special +P+ ammo was a way for many LE agencies to get better performance than what .38 or .38 +P could offer without using the politically-incorrect Magnum ammunition. Typically, these agencies would buy .357 Magnum revolvers like S&W M19's, Colt Troopers, or Ruger Security Sixes and load them with the .38 +P+ cartridges. The manufacturers of such ammunition made it only for law enforcement and did not market it to the civilian market for fear of it winding up in a gun not strong enough to handle it (such as what happened with the old .38/44 ammo before the .357 Magnum was introduced). These ammo-makers usually recommended that this ammo only be used in .357 revolvers. The most commonly encountered .38 +P+ ammo seems to be Federal 147grn +P+ Hydra-Shoks.
The recommendation against bullets heavier than 124grn comes mainly from older bullet designs. The 147grn loadings were developed in the late 1980's and early 1990's in response to the 115grn's perceived lack of penetration following the FBI's 1986 Miami Shootout and subsequent wound ballistics studies. While the early 147's did penetrate quite well, they couldn't be driven fast enough to achieve reliable expansion with the comparatively primitive JHP's available at the time and soon received a bad reputation. Advances in bullet design have improved both the penetration of the 115grn loadings as well as the expansion of the 147's. As a side note, 147grn loadings are often among the most accurate 9mm loadings because of their increased bearing surface.
