raw fps=/=range
for X energy (which will be the joule limit for your site/gun setup) and assuming your gun can generate sufficient spin heavier ammo will always go further, they also tend to be less affected by wind/leaves etc (although not infallable) leading to better accuracy at range.
however, there are a few reasons why you wouldn't want to go for the heaviest you can get, first and foremost being cost (very much pertinent to this thread)
the other issue is flight time, personally i reckon it's a fair trade for extra range given most folk don't move much, but others might disagree, guess it depends on your playstyle. it is however absolutely possible to fire only to have someone duck out of the way but frankly that can happen on any weight bb.
mostly it's the expense of them, it's ok for sniping if you don't go through much but only someone very rich or utterly insane would run them in an assault gun (i wish i could say i do it because i'm rich)
mate of mine hasn't had any issues running .32's in his evo, and that's what i run the vast majority of the time in all my guns, but i do like to save up a stash of the heavies for special occasions.