Sidechains are still under design and development. There is no reason at the moment to consider this, although we have talked with Adam Back and Austin Hill a bit about side chains.
With Counterparty, one of our most important priorities is proven security. Embedded consensus on the main Bitcoin chain offers just that, as every Counterparty transaction is also a Bitcoin transaction.
If and when a sidechain comes out that a) offers a level of security at least equal to that of the primary Bitcoin chain, b) has several advantages to the primary chain (such as much quicker block times and/or lower fees) and c) has better scalability than the main chain, then we will consider it. However — realistically — a. and b. (and c.) normally work against each other, so this is a bit of a tall order to overcome.