RTFM. Read The F......G Manual.
RTFI. Read The F.......G Instructions.
The manual of any modern rimfire will tell you if it's safe to dry fire or not. No need to stick random crap in to dry fire on.
Reading the instructions on the so called snap caps that are out there, will , like as not, come up with the name "Action proving dummy rounds", or words to that effect, and the instruction to avoid dropping a firing pin on them. They are intended only to test feeding from the magazine.
Agree, proving rounds or cycling rounds are not for dryfiring !
I have only seen true snap caps in shotgun calibers to date. Lots of assorted fake (as opposed to being a dummy made from an actual case and bullet) Dummy Round out there on the store displays, though. I'll repeat, RTFI. Those blue aluminum 'cartridges' are not meant to be hit by a firing pin, or (esp. the rimfire ones) they will be damaged.
Snap-caps are available for many if not most commercially available centrefire cartridges. Pachmayr and A-Zoom make them.
Unless you own one of the few old guns that actually has the risk of doing damage to the chamber rim, I'd suggest not bothering. The money saved on the drywall anchors will be better spent on ammunition, and I would personally not expect to buy a firing pin for any reasons but that the material was substandard to begin with. In which case, it's gonna break in use, no matter what is under it.
Many NEW FA should not be dryfired on an empty chamber. Anschutz, for instance, recommends dryfiring on spent cases as has already been suggested. As a substitute and if more convenient the drywall anchor idea sounds good as a means of shielding the chamber face and the firing pin. Anschutz offers Part #1807T-12, a dryfire pin specifically for dry training.
Dryfiring is still considered one of the best if not the best methods to erase poor trigger release habits and to establish effective new ones.