In case you ran into this problem like I did, here is the solution. I found the answer from Grant in this google group and thought I would present it in a nicer format.
If you're trying to make an SFTP connection from Coda (Mac) to your Siteground hosting account then this might help you. I was getting an error when I loaded in my SSH private key - something to the effect of the key not being in the correct format.
The answer was to create a config file with the text below in your "~/.ssh/" folder.
Host servername HostName servername User username IdentityFile ~/.ssh/id_rsa_siteground Port 18765
PS: Coda's docs didn't even help me with this. The format they suggest using for the Config file still didn't fix the error.