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Honestly the difference btw 9mm vs .40 is negligible IMHO. Modern SD/HD loads today in 9mm are virtually on par with 40cal ammunition. If you really wanted something "better" than the 9mm then go with .45cal instead.
Plus 9mm is cheaper to buy for range use. For example, I own a Smith and Wesson M&P9 and my friend who goes to the range with me has the M&P40. The price difference on a box of 50rd Federal target ammo from Walmart is $5 ($10 vs $15). In the long run you'll save more with the 9mm.
I don't really recommend the barrel conversion from 40 to 9mm. My friend wanted to do this but he hasn't yet, and I don't think he will. Its your decision whether you go with the 9mm vs .40cal. When I started shooting, the very first gun I shot was a friend's Glock 23 (40cal); I did just fine but when it was time to buy my own gun I went with the 9mm. Hope that helps.
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