I have done this and it works just fine. Search Sigforums and you will find many people with the same experiences
Quote from Sigforums
"I have a P226ST that came as a .40. Sig factory .357 barrel is a drop in swap. Yes, the same magazine is used for both .40 and .357.
For making a .40/.357 P226 shoot 9mm, there are two options.
Option one:
I have a Barsto 9mm conversion barrel. Needed just a slight fitting, has fired a few hundred rounds in the P226ST with the same recoil spring used for .40/.357. You do need 9mm mags for the P226. While the .40 mag will hold one or two rounds, once the spring gets tensioned, the lips are to far apart and the rounds are ejected from the pressure.
The Barsto set up works, barrel run about $175-$200, magazines about $25.
Option two:
I just took delivery on a P226 .357 that the previous owner had acquired a West German Steel 9mm slide and barrel for. The deal I got on this combo made it like getting the extra slide, barrel, etc. for free. Couldn't pass that up!
I had been under the inmpression the locking blocks were different between the 9mm P226 and the .40/.357's. That evidently is not the case. Lock the slide back, rotate the takedown lever, remove slide and then replace with the other. Takes about 15 seconds to make the swap.
Both ways work. I am now considering selling my Barsto barrel, I think the spare slide/barrel is the better way to go, and it also looks great sitting on my P226ST frame. Considering there are not a lot of P226 slide/barrel assemblies floating around, it is probably more difficult to go that route. I consider myself pretty lucky. Right place at the right time for the deal."