What manufacturer is your new .357 sig? I had a drop in .357 sig barrel for my Glock 22. (should have kept it. . . ) I used to shoot the gun primarily with .40 S&W and keep it loaded with .357 sig.
This was when the round was all the rave and I was sold on it BIG TIME as well. I still do like everything about that little round.
For home and personal (2 legged) defense I would definitely NOT, keep it loaded with FMJ rounds. The speed of that little round would allow it to penetrate through soft tissue and other common materials (drywall, plywood, sheet-metal, etc.) and still have plenty of energy left to travel on to the next object or material, hopefully not soft tissue. (see where I'm going)
I keep .357s (mags, not sigs) for primary defense, but if I'm in public or in the house they are always loaded with light, soft, sometimes even frangible projectiles. This is not due to needing expansion for effectiveness, but to minimize "over-penetration", especially in the case of a miss that goes into the wall, cabinet or something else.
Now, if this pistol happens to go with you camping into bear country, then a FMJ (or hard cast if they make them) would be smart to use for defense out where over-penetration is not an issue.
Got any pics to show us? I miss having a pistol that converts to that snappy little fellow of a round!