I was going to suggest the conversion kit also, but it does not look like they offer it in a threaded barrel.
You can get something like a Barsto barrel, they are $315. the conversion kits are around $400.
People report using the .40 mags with 9mm, but if you want a
reliable set up I know I personally would not trust that for other than strictly range use. So figure on mags (about $25 each for Mec-Gars)
Ideally you would also replace the recoil spring.
I've read that the extractor may be an issue since it is trying to grab a rim that is slightly smaller (further away from the extractor).
You need a conversion barrel as the slide opening on the .40 is bigger than on the 9mm (ie. can't just put on a "normal" 9mm barrel)
For cost, I think the conversion kit is the way to go: new (proper) slide, spring, night sights (correct for 9mm) and a magazine. That won't help if you want a threaded barrel
($230 from Sig).
Probably best to get the conversion barrel (Bar-sto etc), but I wouldn't rely on other than a range pistol. Of course, if you shoot a few 100 rounds with no issues it may very well prove itself to be reliable.