The P239 is available in 9mm, .40 and 357 SIG. The 40/357 has a slightly taller and heavier slide. Other than that, they are about the same size. The P239 is a pretty big gun for pocket carry for me, but appendix or hip its fine. It is also an outstanding shooter in all three calibers.
If you get the .40, you can do a barrel swap and shoot 357 SIG, so, its a nice option. The .40 mags will work, but, for defensive use, I would get dedicated 357 SIG mags. there is a little ridge in the 357 SIG mags to keep the bottleneck cartige aligned a little better.