A4s,
It seems like overpenetration is a pretty big deal for you. In that case then just go with the .40. If you do that you won't have to worry about the over penetration issue (with the right ammo of course). The 357sig is a man stopper for sure, so I wouldn't worry about that as long as you are firing good ammo. If the over pen issue is going to bother you then get the .40 and that will give you peace of mind. Since it is going to be a carry gun then peace of mind is paramount as you must be fully confident iin the pistol and ammo that you choose to carry.
I have the P2000 in .40 and I love it. I carry it with 155 grain Gold Dots in a Galco holster. The Galco skyops holster makes the full size P2000 very concealable, and once I add the P2000SK to the inventory then I will be set for any clothing an weather.
http://www.usgalco.com/HolsterT3.asp?ProductID=2751&CatalogID=7
Once again, I think the choice comes down to peace of mind. The .357 sig is a cool caliber, and hell I even want one myself, and it is a man stopper for sure. But if you need to go with the .40, which is still a cool caliber and man stopper, to have peace of mind, then go with the .40.