check out the 'getting started' page. Basically you just need an Ant+ dongle, and an ant+ speed & cadence sensor.

I'm unfamiliar with the sigma headunit, but you the ant+ speed and cadence sensor can transmit to both an ant+ headunit and ant+ dongle at the same time. But to be clear, you absolutely do NOT need a headunit when using zwift. Zwift will record and display all the information and then save the ride file for you to upload to whatever site you choose (strava, trainingpeaks, etc). Hope that helps.