You should only opt out if they have your data, most of them let you check. Focus on the ones with a 
indicator first, because many “data brokers” are just resellers of those few companies, so they’ll have the greatest impact.
Of course, if you search these databases for your own information, put in as little information as possible to find your results.
Personally, I pay Kanary to do this ($10 off code lol narrowshack8841042). Mainly because Yael recommended it, and her work both on that list and at Consumer Reports in general is fantastic.
If you are willing to trust a scanning service with your information and are willing to manually opt-out yourself, Optery seems to be a decent free option that will find your exposure online and provide you with opt-out links.