Ballistic Products sells #12 lead shot - 10lb bag for $28.99
http://shop2.mailordercentral.com/bpicart/I've made shot shells for my .32 mag - start by using a small charge of a fast burning powder like Bullseye, push in an over-powder wad (cut out discs from styrofoam cups using an empty case), almost fill the case with shot, seat an over-shot wad, lightly crimp, then seal with a small bead of Elmer's glue.
I've made shot shells this way for .357, .45 colt, as well as .32 and had good luck. You can experiment with different materials for wads, but styrofoam cups are easy to make, and are completely burned during firing. I've not tried gaschecks for a wad, but have seen that suggested.
Walt