Thanks for the advice and will definitely use starting load data first, and definitely get the right bullets for it. My main question is what powders and bullet combos are working the best .
The Lee factory crimp die in .357 Sig solves a lot of bullet retention problems. It's a collet die rather than a taper crimp and crimps almost the entire neck rather than just the mouth. I'm not a Lee fanboy, but this die is a winner.
This is what I was looking for guys! Now I know what powders and bullets to start with that will hopefully yeald me good results. I will definitely make sure to get the lee die, and thanks to everyone for lending me advice. Going to go out and shoot up some factory ammo today and get to know this weapon!