Barrels are available from Sig from their web site, or from Top Gun Supply, but you'll need the proper recoil spring too. A call to the contact number for customer service is the way to go, they're very knowledgeable folks.
I have a P226 Mk25, originally in 9mm, then bought an "Exchange Caliber" unit in .40 S&W that works as well as the original 9mm slide/barrel assembly. It came with the barrel, recoil spring, and a .40 S&W magazine. Accuracy with the .40 upper is ever bit as good as the original 9mm upper.
On this particular pistol, with the .40 S&W upper installed, and using 9mm magazines, .40's feed and fire just fine and the slide locks back after the last round has been fired...in other words, no add'l .40 S&W mags were needed when I bought the .40 upper/barrel assembly. Can't say if that is universally true of all Sigs, but this one, a P226 Mk25 does.
I also own a Sig M11A1 (a P229) in 9mm. I just checked and all of my .40 S&W and 9mm P226 mags fit into the mag well on the M11. But I don't have a .40 bbl. and slide so I can't check for feeding issues.
HTH's & YMMV, Rod