Glaser and Magsafe make ammo like this, and I have made my own for grins. They do work well. Most won't go through 2 layers of sheetrock, or if they do won't have much energy afterward. Never tried them on glass, though. I made my own by melting the lead out of .44 jacketed bullets, filling them with #9 shot, and sealing the opening with hot glue. They'll turn a watermelon to mist but won't penetrate a wall. The delrin wadcutters described in Unintended Consequences are interesting to play with as well, if you're so inclined.