My procedure
My set-up is on a dillon 650, using Hornady steel dies. I use RCBS case slick spray lube, squirt some onto the cases while tossing them around in a plastic bowl. I only use cases bearing the 357 sig headstamp. Why make an already too short neck shorter? And there's some that say the sig has heavier web/head than 40 S&W cases. I also add the lee FCD in station #5.
I've settled on power pistol for the powder, and Hornady HAP 125 grain bullets. I tried blu-dot, it works but I had only enough to test one loading, while I had a full pound of PP. You have to be carefull about bullet selection. While it IS a 9mm in that it uses .355 diameter bullets, not all 9mm bulets will work. Because it was originally made to fit 40 S&W magazines, it HAS to be loaded fairly short. That coupled with the ogive of some if not most 9mm bullets, means the end of the neck winds up out over the sloping ogive of the round nose 9mm bullets. Since the neck is so short you WILL experience bullet set back from hitting the feed ramp and possibly recoil while in the mag.
Use of a trauncated cone style bullet like some round nose flat point and the XTP type bullet negates that concern. The Hornady HAP,(hornady action pistol), is basically a XTP HP made without the sciveing step to insure expansion.
I run the shells through the dillon, then tumble for ten minutes in bare corncob to remove the lube. The case slick COULD be left on them, it doesn't make them sticky. I doubt it would hurt anything if left on the shells. Also it WILL NOT affect the powder/primers, completley inert.