As Dante has his hands full with Jedah at the end of Story Mode, it will be up to the other Heroes to try to stall Ultron Sigma long enough for Thanos to build a weapon to defeat him. Along with having an Xgardian that is resist to damage on his side, Ultron Sigma will also control the Reality Stone and Space Stone AND will have regenerating powers towards his Hyper Combo Gauge. Luckily, however, you will have Captain America and Strider with the Mind Stone and Power Stone on your side (which can be alternated at will).
If you are good at making Combos, then definitely go with the Power Stone. This will allow you to cause more damage to Ultron Sigma, making him extremely vulnerable when backed into a corner. If you have some concerns about your Hyper Combo-Making Ability, then go with the Mind Stone in order to keep said Gauge maxed out at all times. You'll lose some power, but you'll be able to nail Hyper Combo after Hyper Combo on the big bad monster himself.
On last tip when fighting Ultron Sigma is to defeat his Xgardian as quickly as you can. Not only will this prevent Ultron Sigma from tagging out in order to regenerate, but it also allows you to focus all your power towards defeating the main antagonist of the game after you do so.