Did you feel comfortable on the kx500? Are you used to the 2-stroke powerband? You probably should go with the 250 2-stroke if this will have to last you a long time. I think that you should look at a 250 4-stroke (250f) though. If you have some money I think it would be good to go with a 250f. Does your KFX have enough power for you? A 250f is going to be similar to your quad in power. The bike will accelerate faster than your quad, so it will have more power. 250f fits somewhere inbetween a 125 and a 250. Especially if your getting new go for a 2006 250f...the Yamaha's and Kawasaki's will be getting aluminuim frames for 06 (which are coming out pretty soon), so they will have some nice bikes. I would say you should go with a 2006 YZ250F, because it is the most reliable of the 250f's.
If your dead set on getting either the 125 or 250 2-strokes, than you should test a 250 2-stroke out and see what you feel like when riding it.
If your planning on racing mx I would say go for the 250f instead of the 2-strokes, because you should probably start out on in the 125cc class...which a 250f is in.