I decided on 124gr a while ago. I also have a P226 Legion which seems to like that weight, so it makes it easy to carry the same for both. I have also standardized on Speer Gold Dot 124gr +P for defensive ammo and one of the things I like about 124gr is that SIG makes the M17 9MM NATO 124gr +P which is an FMJ variety that you can use as practice ammo. This matches the "punch" and added recoil of self defense ammo but costs about half, which is nice to practice with.
On a side note, I will say that a couple of months after starting to practice with the M17 9MM +P, my trigger bar spring died on me. Sent it back to SIG and they replaced that (and the front sight) for free and shipped it back within a week. Since then, I have also upgraded to a SIG flat trigger (did this myself with the help of the great YT videos out there) and now see how easy it is to replace the trigger bar spring myself next time.
What I wonder is....did the TBS break because I started practicing with 124gr +P FMJ (usually only 25-30 rds MAX per range session) or was this on it's way to happening regardless? My guess is that I had already put 2000-3000 rds thru my P365, so it may have been time to replace it anyway.
FWIW, when I asked the rep at SIG if +P ammo should only be used sparingly, he said I could "exclusively" shoot +P thru the P365 and shouldn't have problems. That being said, it makes sense that over time, +P is harder on a firearm than standard pressures. Seems like simple physics.