I use an SBIG STT8300M with FW8G-STT but not self-guiding. I do OAG on a different scope with a Lodestar X2 using the SX AO unit. SGP has built in drivers for the SBIG and its filter wheel. It should just connect automatically if you have chosen "SBIG Camera" in the Camera droplist, and "SBIG Filter Wheel" in the Filter Wheel droplist and configured both correctly. For the camera configuration I have used both USB and Ethernet with Auto Detect selected. For the filter wheel I have Auto Detect selected but choosing your specific filter wheel should also work. Have you explicitly selected configuration options for both the camera and filter wheel?
Also you should connect to your camera using SBIG's testing program CCDOps, a free download from their site. Make sure everything works fine using CCDOps. If it doesn't, you may have a hardware problem or cable issue.