You are going to want to run a couple hundred rounds through it to get it broke in so I would just buy some federal loads at WalMart and send them down range. I wouldn't run anything expensive through it until I was sure all the kinks (if you even have any) were worked out.
Better yet, send it to me and I will break it in for free and that will save you a lot of time at the range and you won't have to worry about the cost of the shells. I would do that for you, because that is the way I roll!
I've shot Speer 115gr, Winchester 115gr, American Eagle 115 & 124 & 147gr, Remington UMC 115gr and S&B 115gr thru my 5.25 with no problems at all - except for 1 dud UMC round. 115gr 9mm ammo is usually easier to find at stores like Walmart and often cheaper.
I'd suggest buying single boxes of different ammo brands & weights and then select your favorite & buy it in bulk online.
Whatever you have. XD's and XDm's are very ammo friendly and will shoot just about anything you load them with. If shooting competition, I use 124 grain or 147 grain stuff. Congrats on the gun, making me drool.
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