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I'd suggest the smallest you can get away with, you should be starting with about half your jug full of milk in my experience. Definitely don't want too big a pitcher otherwise the milk won't be deep enough to swirl around properly. Think mine is 360ml
Edit: That being said, if you're having trouble getting to grips with good technique, you want as much time as possible to work the milk. That comes down to temperature and volume, steaming a bigger volume of colder milk will give you much more time to react.
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That video kinda covers it but never fill the jub so the milk touches the groove for the spout, keep it below. Start with the spout about 45 degrees, half way between the middle and the side of the jug, fully below the surface, then as soon as you turn it on pull the spout up nearer the surface until you start incorporating air, you can tell when that's happening by the noise. Mix the air in for a couple of seconds then move the spout back down further below the surface of the milk, the whole while you should see the milk spinning around the jug, that's how you know the spout is in the right position. Once the jug is too uncomfortably hot to hold, it's done.
Check youtube. It's just practice. I had the same thing going from modded-Gaggia wand to a commercial group with a big 4-hole wand.
Random google: https://www.youtube.com/watch?v=svHfsziIkW4