I've shot them both and own an SP. My impressions of the P250 are that it felt "plastic" (as in toy like) in the .40 and 9mm configurations I've tried it in. It is of a modular design so there are advantages for grip inserts and barrel (caliber) swaps. It is a bit smaller than the SP but only slightly so and not what I would consider significantly. It is also slightly lighter in weight.
The SP felt like a firearm by comparison (personal observation and opinion). Only two grip size options are available for the SP. If you want muti-caliber in the SP, be prepared to spend a lot of money as you will have to buy the SP2022 in the caliber(s) you want individually. There are no barrel (caliber) swap options available. Holsters are a bit more limited in number and options whereas they are growing in numbers and options for the P250.
There are rumors floating around that the SP series will be replaced by the P250. Not a lot of information from SiG on what their future plans are. I hope that is not the case, but that again is personal opinion. I suggest, like I do for any handgun, that you go to a gun shop or range and get your hands on them. Fire them if you are able to before buying. Your hands will tell you which fits and feels better. If it fits and feels comfortable in your hands, you are going to be able to shoot it better than if it doesn't.