Actually that's a good question, what should I initially be aiming for as an upgrade path?
Frame Shift Drive, first and foremost.
If nothing else, it opens up the jump range and gives you more choice in the missions you undertake, the systems you can trade between, and so on.
Scanned cartographics data generally has to be taken at least 20Ly away for anyone to buy it.
Next, consider what you want to do with it...
Trading requires cargo capacity - Whatever size cargo racks come with the ship, you can usually double them. So the pair of 4T racks in a Hauler can be swapped for two 8T ones, giving you 16T base capacity. You can beef this to about 22T, but you lose things like your shield.
Combat will mean upgrading weapons, shields, hull armour, thrusters, power distributor and possibly a few other basics, as well as considering extras like shield and hull boosters, ECM, defence turrets and so on.
Not all at once, of course, but there are many things to help you out.
Bounty-hunting will mean an FSD Interdictor and a Kill Warrant Scanner. Piracy is along similar lines, too.
Exploration will mean you need some of the detailed scanners.
Is it worth upgrading the sidewinder at all or save for something different? Ideally want something I can trade and fight with to begin with.
Hell yeah, the Sidey is cool - There are quite a few pilots out there who kick serious butt in their Sidewinders.
I personally switched to an Eagle and geared that up for combat, in which it did very nicely against everything up to Python level. We didn't have things like the Imperial Clipper back then, though.
I skipped Adder entirely, hopped in a Hauler to make some cash, went to a Viper and slayed some big targets, got a Type-6 and made a few million, bought a Cobra III just to play around with but got bored, finally bought an Asp and that was my default combat waggon all the way until I ranked up to Master.
I now fly a Vulture for combat, because it's slightly easier, whereas the Asp now struggles against the Elites (post v1.3 rehash of damages, perhaps?).
However, the Cobra and Asp remain damn good all-rounder ships for trade, combat, exploration and just about everything else.
