I do this A LOT. Food for thought about the clays - I assumed that they were biodegradable ("clay"?!). Anhow, I normally shoot in a clearing where there are several dozen old freezers and several hundred old tires. I know, just because others are ignorant doesn't give me the right, but you know what I mean - no-one goes hiking through what is basically a dump. I pick up hulls and take a walk for big pieces of clays or intact clays and any wads that I see.
A note about wads and steel: Kent now makes a "velocity" target load that is steel (if you want it) and comes with a biodegradable wad. I don't know how much it costs, but I plan to find out. This might be a good option.
A note about legality: in Nova Scotia, you have to have a Habitat Sticker (base hunting license) to have a firearm in wilderness habitat. Even then, it can only be a certain type of firearm with a certain load (basically, they don't want you out there with anything that you could poach deer with, so shotgun is OK up to a certain size shot to allow you to hunt 'yotes, which are open year-round here). When I tried to find out about the legality of what I wanted to do, the only answer that i could get is "You are allowed to have a shotgun in wilderness habitat year-round for the purposes of hunting coyotes". So basically, I'm probably on thin ice because I'm clearly not hunting coyotes when I'm out there. I have had three interaction with the police on this matter. In every case I explained my understanding of the law and they told me to be careful and went away. Now that I have a 4x4 I go to a new spot farther down a logging road and shoot there. I have not been bothered since.
-DW