There shouldn't be any issues. All the extension tubes do--if they have electronic contacts--is to pass through the signals from the camera body to the lens. If the lens works on the body, it should work on the tubes. And if the tubes don't have contacts, then you'd be without communication between the body and lens whether the lens was Sigma or not. In addition, the issue with EF-S (crop) lenses not fitting some extension tubes shouldn't matter with third party lenses, because they typically don't add the "safety bumper" on EF-S lenses, so the lenses can be used on both crop and full frame bodies, regardless of being crop.
You do have to understand, however, that using extension tubes differs from using an actual macro lens in several important ways. They compromise the focus distances the lens can achieve--that is, the lens will not focus at far distances, once the lens is on. You may not be able to autofocus to focus on your subject with any efficacy--adjusting camera-to-subject distance is usually an easier way to achieve focus. But you may also not be able to choose your framing or magnification because of how thin your focus range can become. In addition, an extension tube does make things darker than with the unaided lens.
Tubes are not as convenient or nice as a true macro lens, and there are still plenty of reasons to save up the pennies to get a macro lens if you are going to concentrate on macro photography. And you can always use the tubes in combination with a macro lens.
Extension tubes will give you additional magnification with your 18-250 lens, but your control over the combination and image quality may not be what you're expecting. It's common advice to use extension tubes with prime lenses. You will also want to check out the specs on your lens; it is not a 1:1 macro lens (no zoom lens does, really--all the "true" 1:1 macro lenses are primes). The Sigma 18-250 OS DC Macro HSM has 1:2.9 magnification. Superzooms are extreme lenses in their own way, and even without extension tubes have some image quality compromises to encompass such a large zoom range.