You should also consider what you want to do when the ball comes to you. I've lost many balls because I wasn't clear on what I wanted to do. If you're looking to centre the ball, or something like that, you might prefer to simply stop the ball with the soles of your feet, or with the inside of your foot and look for the pass. If you're looking to dribble away from a defender, you might prefer to stop the ball with the outside of your foot, because a. it keeps more of its momentum, and b. it leaves your feet in an easier position to break into a run, or do tricks, than if you stopped it with the inside of your foot.
As you play more, all this will become instinct. You'll get accostumed to realising what you need to do at each situation. Also, do as said earlier and throw/kick the ball at the wall in different ways and controlling the ball as it comes. I've found the the thigh is the best way (for me) when the ball is in a high drop, and the inside of the foot if it's not. I don't like using my head because it's risky, and normally when I stop it with my chest it either bounces away, or forces me to stay exactly where I am as it drops to the ground, and since I normally run towards the ball, that's not very helpful.