When I first tried to make one of those projectiles, I was using aluminum rod, cut to appropriate length, for the stud. It was easy to turn a chamfer on the outside end, to make it fit the groove much better than a squared-off end would do. I think I'd stay with aluminum since it is at least as strong as zinc in this application, and a lot easier to work with. The idea of casting a zinc projo is also a good one, I think it would work better for me than trying to turn a steel one.
The lazy b_____d in me keeps saying "hey just go and find some pvc pipe that's about 3.6 inch OD, drill holes, insert long knurled aluminum studs, fill pipe with with concrete" but I just don't think I want to listen to that little voice now. That sounds like a half-a__ projectile if ever there was one.