Assuming no obstacles generally I'd go with Vy for a number of reasons:
- Climbing at Vy will have you higher for a given time after take-off, increasing the area of the footprint that you can reach if the engine stops.
- If the engine fails at Vx you will have either have to convert height to speed to get to Vg or accept whatever glide performance there is at the speed that you end up at.
- Engine cooling
Turnbacks are only an option if trained to do them (is usually done for ASEPTA - SE turbine ops). In this case use the speed as per the training.