Last time i checked the 22 WMR was in the order of 5-7X the price of 22lr. If you are happy shooting a 22WMR, and good for accuracy and the cost, go for it. Headshots as everyone else is saying. Common saying about the 22 WMR is twice a 22lr and half a Hornet. Extends the range of the 22lr, making your effective range being the range that you can consistently headshoot the grouse.
By reloading my 410, i beat the cost of 22WMR, so i go 410. Actually more often than not i dont want to shoot a grouse and spook large game, so i leave grouse for the youngsters.