You can shoot tungsten matrix (which won't damage your barrels and will better approximate the desireable improved patterning and energy retention characteristics of lead), but don't use steel. When you compare TM to lead, the price increment is significant. Compared to steel - not so much. Point is, the cost difference for the number of round you'd use when actually hunting is negligible.
For fun shooting in the field, hunting, trap, or other clays sports, use lead. Cheaper and better in every way. When patterning different shells, you'll have to try both - to see if and how the pattern changes with different types and makes of shells (you can be sure it will). Especially with the longer shots that are typical with waterfowl hunting, you'll want to know what kind of a shot pattern you're dealing with.
Don't put slugs through it - period. For slugs, get yourself a pump with a cylinder bore barrel. They're cheap and easy to find 'cause there's lots of makers of these guns and people tend to let them go more willingly than their favorite clays or hunting guns.
SS