Sigil's are found in various locations of the Dungeon as well as in the Mind Dungeons.
The Dungeon Sigils allows one to quick jump to that Sigil.
There's currently three Sigils in the Dungeon:
On the first floor, near the top. You cannot miss it as it's part of the storyline.
On the fourth floor, from where you start, go around and head straight down. It's in the middle of the intersection.
On the seventh floor, head into the upper right room. It's in the lower right corner.
The Mind Dungeon Sigils allows the Protagonist to go to the next room, but not go back the way they came.