Sipidan Island is about an hour or a little more by boat from the town of Semporna. There are no accomodations on Sipidan. You will stay in town and go out for daytrips. In Semporna, there are two places with cheap accomodations: Scuba Junkies Hostel (air con), and the Dragon Inn. The Dragon Inn has cheap dorms with no air con. Scuba Junkies operates it's own dive shop, and has boats to take you to Sipidan every morning and back every night. The Dragon Inn has two dive shops on site, but please read my thread "Warning" in this section. One of them is lousy. Next door to Scuba Junkies is a new, small, locally owned dive shop that I think is probably very good. The owner seems like a nice dude.
You can stay at off-shore resorts closer to Sipidan, like Mabul, Kapalia, and Seaventures, but these are expensive. There is one guesthouse out there, but I suggest staying in town.