Shannon, the good news is that you have a starting place, "Sioux" Collect all names, birth and death dates and places. Ask or determine where people lived and when. The time frame will determine the method of research. If any recent ancestors worked and had a Social Security number, you can order a copy of the original application for $7. This will tell you the names of their parents, an address and possibly yield a couple of other clues. Further back, there are census rolls,etc. Knowing where they lived is most of it, since the Sioux nation is in North Dakota, South Dakota and Minnesota. The various bands , ie: Dakota, Lakota, etc have their own specific communities. You may also contact me privately at SonjaLende@aol.com
I am just getting involved with a local Dakota community. I will speak with a historian soon and ask advice. I grew up in N.D.I now live in the Minneapolis area. My Indian ancestors were from Minnesota.Where do you live?