Hmmm... Very interesting. I was somewhat joking about the hand exerciser, I've only heard that complaint about the XD-9 one other time. A friend of mine didn't respond to it very well, but he hardly ever shoots anything. It's also somewhat ironic that you like the .40, but not the 9mm.
I like big flash and bang, and I'm far from recoil shy - but even I think the .40 is a little stiff... then again, recoil is subjective. Everyone's tolerances are different. It's all about personal preference, my friend. If you still don't like the 9mm, and can't shoot it as well as a .40 or a .45, then you have every reason to move up in caliber for a defensive gun.
You should get a .22 for practice ASAP - the virtually non-existant recoil teaches you to shoot properly without flinching, which is definitely one of the problems you're having with that XD. When you get better with a .22, and used to shooting in general, you'll get better with all platforms. It's all about the fundamentals. Once you get the fundamentals of shooting down, caliber and platform won't matter as much. For now, I'd recommend some serious dry-fire practice - that might help a little in the meantime. Focus on keeping the sights perfectly straight and still until the gun clicks.
Dry fire A LOT... until you can keep those sights perfectly aligned and on target, and follow through as you pull the trigger. Then, when you're at the range, pretend you're dry-firing, and focus on the sights. See if that doesn't make a little bit of a difference.
I would recommend giving it a 2nd thought or two before you trade it in for a .40, though. The first couple of times I shot .357 Sig I was pretty overwhelmed. By the 3rd time I took it out to shoot, it was a piece of cake, and I couldn't figure out what I didn't like about it at first. Sometimes you just have to have a chance to get used to it. Only you know what's right for you.
Welcome to the High Road, btw.