Get yourself some 1000 grit (or higher) and go over some of the edges you will handling. They won't be sharp, but the 'sanding' the edges and corners will make it more comfortable to handle. When you do your first field strip, you may want to do likewise to the contacting edges on the slide.
The Norinco mags worked better for me than the 4 SIG mags I bought as spares. I left all of them loaded full for two weeks in the safe to wear in the springs without shortening same.
Hogue one piece grips and fiber optic or trijicon sights are your next step. Find someone with a SIG sight tool and a .40cal laser bore sight and be their best friend.
Get used to having no safety. Consider a trigger job as the initial pull on the DA is somewhat heavy.
Don't worry about side to side slop in the slide even though it may seem excessive. Remember that the sights are on the slide and the slide positions the barrel. The up & down movement is more important and mine was fine this way.
I've run about 1K rounds through mine and find it to be an accurate and reliable firearm. At IPSC matches I've attended and participated in, I've never had a jam but watched lots of Glocks do so. The .40cal is a perfect compromise for me between 9mm and .45cal but my next pistol will be some sort of 1911 (Norinco's are definately NOT ruled out, but I do work a quarter mile from Dlask). At practice the NP58 hit a steel IPSC plinker 9/10 at 65 yards at dusk. No one else on the line came close to that hit and miss ratio.
HTHs