+1 Lyman Sabots.
I get a friend to cast them for me.
Fed Gold Medal hulls, WAA12F114 (now discontinued) yellow wads, WSF powder and Win 209 primers. I run them in a reduced recoil loading.
I found accuracy similar to Federal factory reduced recoil loading presumably with Foster-type slugs.
I use the Lee Loadall II press for production.
You can get real sabots from Ballistic Products in the US. They wont ship to Canada but you can order any products from their site if you contact Bilozir Fine Guns; they're the Canadian distributor. I've never dealt with them but I've heard good things. BP also sells a reloading manual that includes a lot of the products they sell; I believe it includes sabot data. I will say that it'll get expensive, fast and you wont save nearly as much compared to using cast slugs. You'll be looking at around $1 to $1.25 for the sabot and projectile alone and still need a hull, powder, any spacer wads required, and a primer. You could easily be looking at $1.75/slug when you're done.
I cast 7/8oz and 1oz Lee slugs but have had a heck of a time trying to get them to work well in the rifled barrel I have for my 870. Factory sabot slugs ($2/each like others mentioned) can pretty easily shoot 2" groups at 50yds with the iron sights in my rifled barrel. The Lee slugs in a smooth bore are around 6" at the same with the bead but the same slugs in the rifled barrel rarely shoot any better than in the smooth bore; usually around 6". I've tried over a dozen different loads and combinations with these slugs.
Using the free wheel weights I use to get these slugs cost me $.25/each for a finished round. If I have to pay for lead at $2/lbs they come to $.40/each. Factory foster slugs can sometimes be found for $.80/each but are usually $1 to $1.25 each so there is still quite a bit of savings.
Load data I'm using, based on Lee Loadall II 1.25 oz payload and 3.25 dram loading data.
I've reduced it slightly.
(wad plus Sabot projectile is around 1.25 oz).
http://www.titanreloading.com/image/data/PDF/12gauge.pdf
Federal 2.75" Gold Medal hull
Win 209 primer
Winchester WAA12F114 or Federal 12S4 wad (I don't like how the 3rd party clones of the WAA12F114 fit)
25.5g Winchester Super Field (WSF) (You can adjust the charge weight some for the closest volumetric cavity, this is not a max loading).
Lyman sabot slug cast from wheelweights.
I'm getting around 1060 ft/sec with this in a 20 inch barrel.
Usual disclaimers about load data from the internet apply.



























