The FAQ on Sig's site, that I read when I got my Sig 1911 says +P is fine for SD, or RARE range use, but a steady diet will wear it out quicker. +P+ is not approved, and may (Read WILL) void your warranty.
For range ammo, I've found it's usualy best to hit a Walmart. Luckily in 9mm they seem to always have some, I'm not sure if that means 9mm is so cheap everywhere they don't sell out at Walmart like they do with my .45 or if they just order more of it and keep it in stock. I wouldn't ever buy my .45 at the local range if I can help it. I get 100 Federal rounds from Walmart for $30. 50 rounds of American Eagle (Still Federal, probably not quite the same ammo but close) is $26 at the range. The WWB is $40 for 100 at Walmart... No direct brand comparison at the range, but between 21-26 is what they sell for at the range. If you watch Cabelas/Sportco/etc type stores, they will rarely have sales, though it's more common on .40 and 9mm it seems. I did see Magtech .45 at 16.XX 47? 87? a box of 50 is coming up at one of them as a holiday special.