I have the P250 in the full size .45 and the 9mm sub-comact like you. I also have a compact 9mm X-Change kit I will probaly sell if I ever get a round to it. You may want to buy the X-Grip for your pistol and a compact magazine. It eliminates the pinky overhang for some of us. It also provides you with three additional rounds with pretty much only the extra weight of the ammo. The magazine grip extension and compact mag are of little extra weight.
With the current low prices of P250s, I would say buy the entire new pistol as opposed to the X-Change unit in the other caliber.