The 357 Sig is fairly easy to load. I've loaded around 12,000 rounds of it so far. There are a couple of things to watch for, though. All the literature is going to tell you it headspaces off the case mouth. While this is true, there is also another datum point on the shoulder, and some dies won't set the shoulder back far enough to allow the round to fully chamber. My solution to this was to mill off about .007" from the top of a shellholder, which allowed the case to go far enough into the die to also size the shoulder to the proper dimension.
Another thing to watch for is using the proper bullets. You'll want to load it with .355" diameter bullets, with either a hollowpoint or flatpoint. Round nose bullets won't generally work, since the over all length of the loaded round is so short, and most round nose bullets seated to the proper length will result in the neck trying to crimp on the ogive, which just doesn't work. This round has a very short neck, and you're going to need all the neck tension you can get to prevent bullet set back. This is already a high pressure pistol round, so you don't want to raise those pressures any higher than they already are.
Another thing to watch is the powder. I prefer a powder that fills up the case, which also prevents bullet set back. My powder of choice is Accurate Arms #9, which completely fills the case and provides support for the bullet. It also happens to be the most accurate I've tried in this caliber.
I generally don't trim cases in this caliber, but I did run into some Federal Nickel cases that had to be trimmed to work. The one thing I do religiously with this caliber is chamfer the inside of the case mouth. This greatly facilitates bullet seating and you won't ruin any bullets or cases if you do this one step.
The last thing is to put a good crimp on the bullet. A bullet with a cannelure works best, but there aren't many 9mm bullets that have one. I've added a cannelure to bullets just for the 357 Sig, and it really helps to keep the bullet in place, but not everyone has a cannelure tool. Just make sure you have good neck tension and you'll do fine.
I guess that was more than a couple of things to watch for.......
Don't be lazy when loading this round and you'll produce a good product.
Hope this helps.
Fred