Over the last few years, needlets have a emerged as a useful tool for the analysis of Cosmic Microwave Background (CMB) data. Our aim in this paper is first to introduce in the CMB literature a different form of needlets, known as Mexican needlets, f
irst discussed in the mathematical literature by Geller and Mayeli (2009a,b). We then proceed with an extensive study of the properties of both standard and Mexican needlets; these properties depend on some parameters which can be tuned in order to optimize the performance for a given application. Our second aim in this paper is then to give practical advice on how to adjust these parameters in order to achieve the best properties for a given problem in CMB data analysis. In particular we investigate localization properties in real and harmonic spaces and propose a recipe on how to quantify the influence of galactic and point source masks on the needlet coefficients. We also show that for certain parameter values, the Mexican needlets provide a close approximation to the Spherical Mexican Hat Wavelets (whence their name), with some advantages concerning their numerical implementation and the derivation of their statistical properties.
