I wrote more about this sort of “question tag” in this answer. The summary of it is “the tag normally matches the tense, including modals, of the premise in the question.”
Of course, the tag needs to be in question word order: compare “Should I have said that?” with “I shouldn’t have said that, should I (have)?” “Should(n’t) have I” isn’t a grammatical modal stack. (See also this answer.)
In speech, you could duck the construction altogether and just use a particle like “huh” or “no” as the tag. “I should have said something then, huh.”
