How important is it to calibrate your lenses to your DSLR, especially if they are third party lenses?
The only time you would need to calibrate your lens to your camera is if you suspect there is a misalignment. This is quite uncommon, so it is not something you should do for the sake of it. Some camera bodies have the option in the menu to make micro adjustments to the focusing, so you don't necessarily have to have calibration done by so called "professionals". It shouldn't make any difference whether your lens is third party or not. A Sigma lens designed for a Canon body should be as accurate as a Canon lens. The short answer to your question is don't bother calibrating your lens unless you know there is a problem.