For the amount that you will use you could use either. You will only be using a light sprinkling to add colour. I always use paprika in my sauce and then use a light sprinkling of cayenne on the top. Cayenne is slightly hotter than paprika. Both deteriorate and lose their flavour with age which is another factor you may wish to consider. I use up older spices or those that have been exposed to air when I just need them for colouring as you do.