In my plain jane P226 9mm, I use ....
Defensive/Carry round ... Corbon 115gr +p JHP
Practice ... Winchester White Box 115gr ball (aka 100 round value packs from Wallyworld)
ETA: Sig doesn't reccomend +P+ or Military Surplus ammo ... this from their website
What types of ammunition can I use in my SIG guns?
Any factory ammunition that is SAAMI approved is suitable for use (Standard and +P). Reloads, +P+, and military surplus ammunition are not recommended.
What is SAAMI-approved ammunition?
SIGARMS recommends SAAMI-approved ammunition. See the Sporting Arms and Ammunition Manufacturers' Institute Web site (http://www.saami.org). Since 1926 SAAMI has been the principle organization in the United States actively engaged in the development and promulgation of product standards for firearms and ammunition. The U.S. military, the Federal Bureau of Investigation, and many other state and local agencies frequently require that their suppliers manufacture to SAAMI specifications. SAAMI is the only trade association whose member companies manufacture and set standards for high-performance law enforcement ammunition.