I've been using a Sig P238 for the last year or so, and have been very impressed with it. I would rather it be a 9mm, but as already mentioned, Sig is taking care of that with their P938. I have no problem with cocked and locked in a pocket, as long as it's in a proper holster. I currently use an RBKA and Desantis Nemesis.
If the P938 feels and shoots like my P238 (with .380 auto +P handloads), I'll be picking one up for sure. I paid under $500 out the door for my P238, so I hope to be able to do nearly as well for the 9mm version.