I have two 5.25 XDm's- one in 9mm and one in 40cal. I run the 9mm slide/barrel/spring on the 40 lower for 3 gun and have no problems at all. The 40 lower has a Powder River trigger, Pistol Gear magwell, and a Canyon Creek extended mag release. So I'm able to use the same customized lower for either caliber in Limited, or I can run the 9mm with the unmodified lower in Production. Works great. (Haven't yet tried the 40 slide with the 9mm lower however.)
I use a Canyon Creek tungsten guiderod on both slides, except when running Production class. I can also run the 40 in Minor power factor using a 16lb spring.
Both pistols will fit my bladetech holster, though I have to crank down the adjustment screws for the 9mm slide.
RE: magazines- I have not tried running 9mm ammo out of 40cal mags. I'm using original mags for each pistol. I've got extended baseplates for each mag-- the Dillon 140mm baseplates for 9mm, and Taylor Freelance 140mm baseplates on the 40's. Both are using Grams springs & followers. The 9mm mags comfortably hold 23 rounds; the 40cal mags comfortably hold 19. (The 40cal mags are prone to FTF if I put 20 rounds in-- so I don't.)
Bottom line, this has proven to be a very flexible combination for me for a manageable cost.