Women's Sidi shoes run on the small side. So go to your LBS and try a pair on before you order them online. Because they are made from a women's last and are Italian made, they fit snugger than the men's or unisex bike shoes. I wear a 39 Specialized but a 39 women's Sidi was too small. You'll probably have to go a half or full size (Euro size) larger than other shoes to get the correct fit.
I haven't gotten a pair of Sidi's yet (on my wish list) but my husband says they're the best shoes he's ever had. That sentiment has been echoed by other Sidi wearin' friends.
Good luck!