Last time I checked Midway had a pretty good supply of brass at a decent price. Well almost decent as brass has gone up through the damn roof here lately. Norammly I size any new brass I buy, it just saves on the frustration factor and crushed cases during the loading process.
Here is the Midway link. You might find it cheaper by a little bit but I have normally had very good luck with new Winchester brass. And Midway sells a pile of it.
.357 SIG is a pain in the butt to reload. The problem is case neck tension for the bullet. You can't just use any 9mm bullet. It has to have a straight body and then taper, typically in a truncated design. This means the available bullets you can use is a little more limited. The neck is so short, that its a pain to bell it just slightly, yet still give adequate tension. Finally, even when seated and crimped, bullet setback is a real problem and its not like the round is low pressure. This is a problem even with factory ammo. Look into it a little in your searches and others will bring up the same problems. Just something to consider before you buy.