The 357SIG really isnt any more of a pain to load for than anything else. I skip the lube mess by using a .40S&W sizing die first, then the 357SIG die to finish. Its one extra step, and no mess.
The 357SIG is not a necked down .40 S&W. If you do this, the case will end up a few thousandths short. They can be loaded, but you may (or may not) have issues with the bullet staying put, depending on how you load. If you use a .40 sizer instead of lube, you can easily form the .40 brass into a 357SIG looking case. I've done it unintentionally and found the fired brass later and realised what happened. I now closely watch and sort my brass now. I didnt have any issues with the resized .40's, but why bother if there may be issues. I'm also not sure if the .40 brass is made to take the hotter 357SIG pressures.
Due to bullet selection, I dont find it to be as cheap to load for as some of the others. I really didnt see the savings were worth the effort, and usually just buy it in bulk. I'll have to see how things are now that the prices have gone up.
Other than 357SIG specific bullets and 147 grain 9mm's, I havent found bullets designed for the 9mm to work very well, if at all. They dont have the right profile. I really didnt have much luck with the 147's either, but I really didnt try to hard either.
I usually use 13 grains of AA #9 and 125 grain 9mm bullets that are 357SIG specific. Its a compressed load and bullet setback has never been a problem. I doubt it would be even if you didnt crimp.
All in all, I was sold the first time I fired a 357SIG. I was a die hard .45acp fan for most of my life, but I havent carried one since I got my first 357SIG. I have 5 SIG's in the caliber, P226's, P229's, and a P239. All are very accurate, easy to shoot well with, and all have been 100% reliable, and thats REALLY 100%. I have never had a stoppage or malfunction in any of them. I wont hesitate to buy another if I come across a deal.