It all depends on what brand you are buying. If you are buing a brand that is sized using American sizes (such as Capezio or Coast), then you should start by trying on your regular size and then trying a half or a full size smaller to see if you get the right fit.
If you are buying an English brand (such as Supadance, Freed, or International), then you need to realize that these are sized using English sizes and not American sizes. A good rule of thumb to convert between your American street shoe size and your English ballroom shoe size is to subtract 2 1/2, so if you are 6 in American shoes then try on a 3 1/2 in English brands.
If you are buying a European sized brand (such as Diamant or Dance Naturals), then there's another conversion because these brands use European sizes, which are different from American and English sizes. I don't know what the conversion is for these, but the person selling the shoes would know.
Your best bet is to go to a store that sells ballroom shoes or to a dance competition that has vendors at it to buy shoes until you know what sizes you take in which brands, and which brands you like the best. Once you've found the right shoes for you -- and it does take a bit of testing -- then you can start ordering them from the many ballroom vendors on the web.