i had a Mossberg 500e in .410, and my grandfather has a cooey 84 in .410 and all we use is shot #4 but sometimes #6 if no one has #4. both 2.5" and 3" are nice, little less recoil and distance with 2.5" though. just aim for the head and you will take the head right off with #4. however with that Mossberg i had, it had a full choke and i still had to right close to the grouse to even hit it, the one day i was maybe 20' away from one and i fired 2 shots of 3" remington #4 (i believe magnums) and it didnt do anything to the grouse so i got a little ticked off with the "under powered" .410 so i traded it in for my Stevens 311-H SxS 12ga and used that for the rest of the season.
i personly love shot 4 for small game (rabbits and grouse) with my 12 gauges and 20 gauge since it has a nice tight pattern, with 12 gauge i aim about 1-2" above the head and it taked the head and half the neck clean off with no bb's in the breast.