Depends on why you got the P250. I own one too, also owned an XD, currently only have the 250.
I bought the 250 for two reasons: concealability, and DAO trigger. The XDm has neither. It's a full-size service pistol, and it uses a "USA" trigger which is like a glock in some respects. The SIG also has night sights, the XDM doesn't.
I had carried the XD (it was subcompact) and found marginally easier to conceal than the 250, but didn't feel safe keeping a round in the chamber, but with the SIG I do.
The accuracy of the XD to the SIG is equal, so the XDM might be slightly more accurate.
So it comes down to those two reasons I mentioned. Concealability and trigger. Those should be your two deciding points. Otherwise, both are solid pistols IMHO.