I've had a SIG P239 .40 for a little over two years now. I wouldn't worry about shooting +P throug it. Standart should work just fine. I did my 1st 300rds w/ 180 grain Blazer CCI, but that's just what my PD had at the time. Any manuf. should be fine, but I'd stay away from foreign rounds. The Blazers are steel alluminum casings, and are a little more dirty than some better brass rounds, which will just make your gun a lil more dirty, but no harm done. I've shot a few hundred of 162 grain, and noticed a lil more of a "bitch factor", which was nice on the range. Gold Dot, and Fed Hydrashock make good defensive rounds.
Bottom line: Buy a cheaper ammo for the range, and after a couple hundred rounds, you'll notice your gun becoming a lil more smooth.
NICE BUY, and HAVE FUN!