Congrats on picking up a nice new 9mm Sig. It should provide you with many years of fun.
First you need to decide what the purpose of the shooting is for. Is it just for target plinking or self defense? If for self-defense this will help you buy practice ammo which is the same weight as your defensive ammo so it should have somewhat similar function. You usually have three weights of bullets to choose from, 115 grain, 124 grain and 147 grain. While many like the lighter or heavier bullets I favor the 124 grain bullets, a good compromise of speed and weight. The 9mm ammo should be labeled 9X19mm or 9mm Luger or 9mm Parabellum (all the same stuff) with the bullet weight listed.
Next check with the range you are going to train at. Some ranges limit the ammo to brass cased ammo (the most common) and may not let you shoot aluminum cased or steel cased ammo. This will help you narrow down what ammo you need to buy. For practice you want FMJ (full metal jacketed) ammo and not hollow points.
And now for the important part- pick out the cheapest and largest 9mm boxes of ammo you can find (find out what's on sale). The 9mm comes in different size boxes- 20 rounds (usually expensive hollow point ammo), and 50,100,250 and even 1000 round boxes. My Sigs and other pistols will take almost any brand of ammo and shoot it well. Examples are- Federal, Winchester, Remington, Remington UMC, PMC, Blazer (aluminum cases), Speer, Magtech, Fiocchi, and Sellier & Bellot. I haven't tried the steel cased ammo- usually Wolf and Tula.
So if it was me I'd drive to my nearest superstore (Walmart, Kmart,etc) and get a bunch of cheap 9mm full-metal-jacket 124 grain brass cased ammo and go shooting. Good luck and have fun.
best wishes- oldandslow