hot glue, wax, silicone, etc are not very good fillings.
get a caulking gun tube of polyurethane. once its dry its far more durable than anything else, sticks to anything and has some weight to it. you can make a nice set of dummy shells by simply filling the shell and primer pocket with polyurethane. set it down afterwards on wax paper and the primer will be nice and flat. polyurethane is hard enough to actually cushion the firing pin, silicone isnt.
just be more careful with urethane than with silicone -- this stuff doesnt just 'wipe off' if you make a mess or get it all over your hands.
IMO making them from real shells is not such a bad idea. the plastic commercial snapcaps are brittle, get all gouged up and are crappy. the metal ones are far too 'slippery', too heavy and dont feel right.