I dont know about the 357 sig but ive put quite a few rounds through a .40 compact. Its a great little gun, extremely concealable, shoots well, i think it feels great in the hand. IMO its a perfect size for concealability, its right inbetween most compacts and subcompacts in size. despite the size its easily controllable in 40. So go for it.
Keep in mind that while the .357 sig is a good cartridge, next to the 10mm, it's probably one of the most hard to find cartridges out there, and from what I hear, quite expensive. If you haven't learned how to reload, now is probably as good a time as any to learn it.