What sideband should I choose for PSK31?

For BPSK31, the most common flavor of PSK31, the sideband does not matter. As long as you can see the station in the waterfall display, you can work it.

With QPSK31, however, the sideband does matter. You can choose either upper or lower sideband, just make sure that both stations are on the same sideband. Most QPSK31 activity is on the upper sideband.