Please be very careful here and make your decision based upon your intended use for this firearm. If just for use as a range toy the conversion should be fine, although pricey, as Veer-G said. I would not recommend going this route if you intend to ever trust your life to this firearm. The .40 Sig will have an extractor sized for a .40 diameter case. Difference in case size between the .40 and 9mm may cause some reliability issues i.e. occasional FTE. As I said: should be fine for a range toy but for personal/family defense, well...I know I'm not going to take that risk.
As an alternative: if the snappy recoil is what you don't like about the .40 you might want to give .357 Sig a try. The conversion is just a drop-in barrel change: same case size so no extractor issues, uses the same mags, and IMHO, shoots like a dream. I have a 229 in .357 Sig that's one of my favorite pistols to shoot. I will admit though that the .357 Sig Ammo can be a little more difficult to find. I usually buy it 1000 rounds at-a-time from AIM or Palmetto when they have it in stock.
Best;
PLong