Is there anything I can do for my SIG p226? Any accessories or conversion kits or anything for it?  

Can I take a .40 slide and barrel and put them atop the 9mm frame and shoot it?

Sig lites (night sights) are a good start, and extra mags.

Spend time learning to shoot it before you screw with it.

No you cannot put a .40 or .357 top end on a 9mm pistol and make it work.

Quoted: Sig lites (night sights) are a good start, and extra mags. Spend time learning to shoot it before you screw with it.

Excellent advice. Night sights are very nice for a carry or home gun. I also like to have about 6 mags for each gun so you can rotate them for carry and get more shooting before having to reload them at the range.

After those I would definately recommend going down to Walmart or the like and getting alot of ammo and shooting you pistol alot. Good practice is worth more than any accesories or gizmos.