The best way to customize the spice and heat level of cocktail sauce is to start by making a mild sauce and add heat as you go to get the the level you want. Typically recipes use horseradish and hot sauce. Fresh horseradish is hotter and spicer than prepared horseradish. Another way to add heat is with a hot sauce such as Tabasco sauce or your favorite hot sauce. Another option is to add chipotle powder or chipotle peppers in adobo sauce for more heat and a smoky flavor.