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Individual human decision-makers may benefit from different forms of support to improve decision outcomes, but when each form of support will yield better outcomes? In this work, we posit that personalizing access to decision support tools can be an effective mechanism for instantiating the appropriate use of AI assistance. Specifically, we propose the general problem of learning a decision support policy that, for a given input, chooses which form of support to provide to decision-makers for whom we initially have no prior information. We develop $\texttt{Modiste}$, an interactive tool to learn personalized decision support policies. $\texttt{Modiste}$ leverages stochastic contextual bandit techniques to personalize a decision support policy for each decision-maker and supports extensions to the multi-objective setting to account for auxiliary objectives like the cost of support. We find that personalized policies outperform offline policies, and, in the cost-aware setting, reduce the incurred cost with minimal degradation to performance. Our experiments include various realistic forms of support (e.g., expert consensus and predictions from a large language model) on vision and language tasks. Our human subject experiments validate our computational experiments, demonstrating that personalization can yield benefits in practice for real users, who interact with $\texttt{Modiste}$.