I have the same camera and lens combination and haven't experienced the above problem, so I would suspect you have a problem with the lens.
I was wondering; Have you tried the lens with another camera such as the Canon D60 or D10 to see if they have the same problem.
I did notice that my Canon 20D has problems with the autofocus when using this lens; Sometimes it works and sometimes it don't, and according to Canon, this is due to the new way the autofocusing circuits work with the Canon 20D.
The Canon Representative told me that because Sigma is supplying 3rd party lenses and has to reverse engineer existing Canon systems, they are more prone to error.
As a result of this, I mainly use my Sigma lens in manual focus, and the results are outstanding.
Incidently, I also use this lens with my older Canon D60 and have had no problems at all with that combination.
Good Luck with resolving your vignetting problem!
Best Regards,
Larry