The exact distributions of the sample variance $(S^2_n)$ and the estimator ($hat{C}_p$) of the process capability index are not easily obtained in general. In this paper, the approximations using saddlepoint techniques to the distributions of these statistics are suggested and compared with the other approximation methods. For comparisons, the exact values obtained by extensive Monte-Carlo (simulation) studies are also given. As a result, the suggested approximation methods are very accurate even in moderate or small sample sizes and are easy to use. Also, the suggested methods can be adapted to approximate the distributions of more complicated statistics, including $hat{C}_pk$ ,$hat{C}_pm$, etc.