Nikon D200 with Sigma 18-200 DC AF D lens

Yes, please turn off the camera when changing lens, make sure on the lens is on its full aperture if you are doing auto. if doest not work to make is test turn the camera on the manual mode and the lens too.
If your lens is new there should not be any problem, if you bought the lens used make sure all the points are clear not rusted. some time when lens fall of it breaks its points inside.