Depends on what you're shooting with and at. If you have a battleship and are shooting at another battleship or a cruiser, use AP shells and aim for the waterline. That's how to get hits to the citadel (magazine) and do shitloads of damage.
If you're in a cruiser, shooting at a battleship? Meh. Your AP shells won't penetrate the belt armor. Best to stick with HE, aim for the deck or superstructure, and hope you light him on fire or knock out a gun turret.
If you're shooting at a destroyer, best to use HE shells no matter what. AP usually just goes right through them and doesn't do as much damage. And HE is great against aircraft carriers since if you catch them on fire they can't launch planes.