...rendered by vim, mangled by X.

I can't speak to the X bit, but getting Vim to deal with Unicode is fairly straightforward. (On some level, I feel it would have been nice if Unicode handling was turned on by default in Vim.)

First, enter the following commands. I put them in my vimrc file, since I deal with Unicode a lot.

:set enc=unicode
:set tenc=unicode
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Then be sure to select a font which renders your characters properly. Maybe every font (or at least the common/default ones) have a Sigma; for my purposes, there were only one or two appropriate fonts.