The same question has been asked on sigforums.com (tons of good info, not just for sig pistols. Look for the FAQ) and the general consensus is that if the gun shoots ok, then there's no problem. Some guns are tighter than others but it seems that tighter doesn't necessary means better in this case.
I would't worry. If your rounds always end up below where you are shooting, this could be a good sign; the problem is either you or the gun sights.
At first just try to aim always the same spot, no matter where the bullets end up. Don't try to make corrections, just aim the same spot. You should see some king of grouping. Try to work on getting the grouping smaller, then to move the grouping to the middle of the target. Try to always reproduce the same shot, and never make more than one correction at a time, so that you can see what made what.
If you can, take some lessons or get help from someone with good experience. You'll learn way faster that way, you have no idea.