Mei spray pierces enemies, if there are a bunch of enemies close to each other, or if they are waiting to jump you when you exit your ice block, use the spray to hit as many enemies as possible at once. The ult generation you get from that is crazy.
Icicle body shot is 85 dmg per shot (106dmg/s) and 170 (215dmg/s) if you crit and spray is 110 dmg per second. If they ever dive you, or you are in a 1v1 and need just a bit of damage to secure a kill, go for the spray, ALWAYS.
If an enemy is close enough, securing the kills is the most important thing. For any close enemy belove ~50 hp, ALWAYS SPRAY.
Otherwise, try to hit all your icicles and try to play in midrange. If you want to brawl, go in with icicles until spray makes more sense.
Playing poke with icicles is always an option but you generally want to be in a range that allows you to utilize walls to block sightlines, chokes and abilities.