Okay, Adm. Woofington, The chronologically correct order for reading Full Metal Panic! Sigma is to pick up Volume 15 after you finish The Second Raid. Note, however, that if you DO do this, you MUST NOT READ THE FIRST TWO PAGES since they're major spoilers. So skip the cover, table of contents, and the first two actual pages of the storyline, since they're spoilers. After that you should be good until the storyline finishes, at which point you must NOT READ THE LAST TWO PAGES of the storyline, as they also contain major spoilers. This is because, while the LN tells this entire plotline after finishing up The Second Raid, the Manga inserts it much, much later. The storyline comprises Volumes 15 and 16 of Sigma.
After you finish Volumes 15 and 16, skip to Volume 4, Chapter 17 of the Manga. The reason you don't need to read Volumes 1-3 is because they cover the plotline of The Second Raid, so there's no need to read them, unless you want to see how it plays out in the Manga version and laugh at the wacky French Maid versions of the Assassins. The first three chapters of Volume 4 (Chapters 14, 15, and 16) are a summary of the OVA at the end of FMP and the Hot Springs Trip from Fumoffu, so there's no reason to retread those.
So, in nice, clear format:
Volume 15-16, skip the first two story pages of 15 and the last two of 16 since they're spoilers for later events.
Volume 4, Chapter 17, until the end of Volume 14.
The first two pages of Volume 15, then the last two pages of Volume 16
Volumes 17-19.
Ta-da!
