I'm not 100% sure of this, but I think the ".sg" file extension means that it's a game for the Sega SG-1000. The SMS should be able to play such things fine, so I don't see why it wouldn't work. I'm no expert on this sort of thing, though -- and it's not something I've tried -- so take my information with some caution.
Having said that, the worst that could happen is you waste some time burning an EPROM that fails to work... I don't see any harm in trying.