I have a P250 fs .45. I don't have a compact in .45, but I have a compact 9mm. I bought a fs kit for the 9mm, installed the compact FCU in the fs frame and there's been no turning back. I recently bought a fs frame ($39.95 free shipping) with the small grip size for the fs 9mm; took the FCU out of the medium frame and installed it in the small frame. Feels very much like the E2 grip. That's what I'm carrying now.
You really need to get a P250 manufactured as of Dec 2010 or later. These have all the latest in them. Some of the earlier models have had some problems, but even if you get one with a problem, Sig will pay for shipping both ways, fix the problem, and update the gun and it won't cost you a cent. Turn around time right now is about a week.
The P250 opens doors to things never before possible. Guys are putting compact frames on subcompact slides to gain grip size, capacity, and rails while maintaining the same barrel length. You can order frames and kits with no FFL requirement.
And they shoot! It may take a little getting used to because of the DAO trigger, but it's about as good of a DAO that you can buy on anything. Here are some targets I shot 17-Mar-2011.
Gun: Sig P250fs-s 9mm
Range: 7 yards
Method: off-hand in an 'I' stance
Target: 2" Shoot-N-C
Some have erroneously claimed that it has a loooooooong reset. I guess that depends. I measured the reset of my P250 and P226 DAK, and they are exactly the same and oddly enough, nobody mentions how looooong the reset is on the DAK. Plus the P250 trigger reach is shorter than either a DAK or DA/SA. Even with the new E2 grip that Sig is going to, the P250 small frame is still about the same reach as the E2 - I know - I have both.
The .45 frame is different than the 9/357/40 frames in order to accommodate the larger .45 round, which means you won't be able to change from a .45 to a 9/357/40 without changing frames, but that's ok, all of the X-change kits come with everything you need. And the FCU in the .45 will fit any of the other frames and vice versa.
The same size in the .45 will fit the same holster as the 9/357/40. I.e. my full-size .45 will fit my Fist Inc. IWB holster I had made for my 9mm fs.
If a DAO trigger doesn't give you a lot of trouble, I think you're gonna like the P250.