To run the episode, you basically put the original wad file and the sigil megawad into the same directory and start your doom variant with the following options:
$ doom -iwad DOOM.wad -file SIGIL_COMPAT.wad
The file SIGIL_COMPAT.wad is for better compatibility with vanilla ports of Doom.
Since I'm a Linux person, I tried the wad file for Doom engines running in Linux. I first tried Chocolate Doom, which is nice port focusing on original game play and graphics (including software rendering). While it basically runs in Chocolate Doom, there are also some issues. Since Chocolate Doom tries to be as close to original Doom as possible, it also contains some limitations of the original software. I noticed so-called visplane overflow crashes so I tried different ports of Doom.
Then I tried GZDoom which is one of the recommended ports. Unfortunately, on my linux installation (OpenSuse 15.1) it crashed on startup with a memory corruption:
Error in `./gzdoom': malloc(): memory corruption
So I looked further and checked one of the first advanced ports to linux, Doom Legacy. This port is more than 20 years old but there are still new releases. And to my surprise it actually runs Sigil very fine. Just start it with
$ doomlegacy -iwad DOOM.wad -file SIGIL_COMPAT.wad
and enjoy the new episode!