Currently there is only one way to download lens profiles from the server, that is through the PS CS5 lens correction filter. Here are the steps:
1. Open your image in PS CS5
2. Filter>Lens Correction...
3. Click the Search Online button to find the matching lens profiles for your image. The button could be grayed out if PS could not detect the required lens metadata from the image EXIF.
4. If there are any match lens profiles found, pick the one that you liked and goto the flyout menu>Save Online Profile Locally.
Viola, you now have the lens profile that is shared by both PS/ACR/LR.
Refering to your step 3: With me the actual lens (Vario Sonnar 2.8/24-70 ZA) is not detected by Lens Correction (which is strange, as PTLens do it right away). But to follow your step 4, I select SÍGMA 24-70mm F2.8 EX D.. which is alike. According to your text this should activate the "Save Online Profile Locally" option - but this option is still greyed out in my system?
I would like too of course to see which profiles are available so far.
The "Search Online" button enable state always ties to the input image EXIF metadata, which is shown in the lower left corner of the lens correction dialog. If you see "--" values, that means PS CS5 could not detect the lens/camera metadata properly . We'll soon provide a cool utility to allow users like you to search the online database, which will give more search options.
The SIGMA profiles that you saw is mostly likely a profile already stored locally on your system (as indicated by a home icon instead of a globe icon). In that case, the "Save Online Profile Locally" step is not necessary.
How about this for a surprise? When I uninstalled the CS5 trial from my MAC (thinking that LR3 would do all my lens corrections) the lens profiles are no longer available to LR3!!
So it seems CS5 is required for this to work?