Think About the Material
Some materials lend themselves better to the day-to-day skin oils and sweat that our bodies produce. Leather isn't one of them. While leather can look sexy, can be more comfortable, and may be more affordable than steel, it can be more difficult to clean and is not a good choice for wearing during urination. On the opposing side, while steel is extremely easy to clean, getting a steel belt perfectly customized to your measurements can be a costly endeavor.
Get a Good Fit
Some chastity devices are adjustable. Especially in the case of a chastity belt designed for a vagina, it's vital that your device is adjustable. Figure out the range that this device can adjust from and figure out if it works for the size of your body. This also applies to penis cages; every individual penis is slightly different while flaccid, and you'll want a cage that contains the length without allowing for much excess room.
Can you orgasm in this thing?
Chastity devices, by design, are specifically designed to prevent orgasm. However, some devices will do that better than others. If you're looking for a device that can prevent any masturbation-induced orgasms, make sure to find one that allows for the perfect fit on the body. Some very determined wearers can manage to orgasm in softer-materials while others cheat with cages with holes large enough to slide fingers into. Some chastity cages specifically have small spikes on the interior of the cages purely to prevent erection and orgasm. It's definitely possible to prevent orgasm, but it depends on how much discomfort you or your partner are comfortable with.
Unfortunately, like many sex toys, you can't try out a chastity device before deciding to make the final purchase. This means you'll need to rely on reviews that other people have written. Try to determine their body type and what they needed the device for. Are those similar to your own? Figure out if they've been pleased with the device, if its been comfortable, how easy it is to clean, how well the device prevents orgasms, and so forth.
Surf the Net
Alongside reviews, how the chastity device looks can be just as important to how it performs. After all, this is going to be something that's attached to the body for long periods of time. You want the design to look attractive to your partner - and to you. No matter how well a device functions, if it doesn't feel like a sexual addition to you, it won't give quite the same feeling while wearing it.
Higher-end chastity belts can offer unique features that you might want to take advantage of. Some have posts on the sides of the belt for wrist restraints. Others will be permanently connected to cuffs around the thighs. Some may offer a detachable O-ring to hold a dildo on top of the chastity device like a strap-on harness while others can be outfitted with electro-sex capabilities for erotic shock training. While many of these features won't be found in budget devices, it may be worth the extra cash if you'd like to take advantage of those features.
While this may be a secondary consideration for many, some people - especially those who travel or who work in high-security workplaces - will need to spend extra time on this point. Many chastity devices are made out of metal - or use metal locks for fastening. If you regularly need to pass metal detectors, consider a plastic, silicone, or leather device that can be locked by plastic, disposable locks.
Locking It Up
As mentioned in the point above, there are multiple ways to lock a device. Many people prefer to use small, durable, metal locks from a hardware store. However, you could purchase your own, customized locks as well (just make sure you trust the manufacturer or you might end up locked for a bit longer than you intended). You also may choose to pick up plastic locks along with your device. These are one-time-use locks that function similarly to zip ties. Slip the plastic end into the lock itself, and these locks are not coming undone until they're cut off. Each plastic lock is individually numbered to ensure total compliance. After all, your keyholder wouldn't want you to snip off the lock and replace it with another one.
Now that you have the basics of selecting a chastity device, it's time to go find the best option for you! Don't forget some lubricant and locks to go along with your purchase to make sure you're ready to go when you receive it.