There has been lots of stuff floating around about what interchanges to what size and caliber. The following only applies to the newer version of the P250.
Essentially, everything interchanges - you can change to and from any of the following calibers - 9mm, .357 sig, .40 S&W, and .45ACP, and any of three frame sizes, full, compact, and subcompact, but there are some things to know.
First let's get this out of the way. IF you have a .40 S&W and want to go to a .357 sig or vice versa, WITHOUT changing gun sizes all you need is a barrel, which you can buy from Sig.
However, if you want to change sizes, or change calibers (other than .357 sig to/from .40 S&W) you have to buy the appropriate 'kit'. The kit consists of a complete slide assembly (bbl included), a grip module and one magazine. Further, you can choose one of three grip sizes on the full and compact size, and two grip sizes on the subcompact.
There are some things that would be nice, but not available. For example, suppose I want to go from .40 S&W to 9mm of the same size. One would think that since the grip sizes are the same, all I'd need is the slide assy. and magazine. However, that isn't an option. ALL kits come with a grip module.
This is my opinion and it's free, but, I think the reason any caliber change kit (other than .357 sig to/from .40 S&W) must have an appropriate grip that locates the ejector in the proper position according to caliber. Hence the need for a grip module by caliber.
If it's any consolation, the grip module only costs $45.
So a couple of examples:
1- I have a full size .45ACP and I want to go to a 9mm compact. I buy a compact 9mm kit ($379 from Sig) and simply put my trigger module in the 9mm kit.
2- I want to go from my .45 ACP full size to a compact .357 sig. Same as above, just buy the compact .357 sig kit and install my trigger module - $379.
3- Want to convert my .357 sig compact to a compact .40 caliber. Just buy the .40 caliber barrel.
4- I want to go from my .45 ACP full size to .357 sig subcompact. Buy the .357 sig subcompact kit and install the trigger module.
5- .45 ACP full size to .45 ACP compact or subcompact. Buy the compact or subcompact kit. Install the trigger control unit.