I'm not trying to tell you what to do. I'm just passing on some information.
It is not the Canadian border or the U.S. stores that are the potential problem.
As a foreigner you are not allowed to possess ammunition in the U.S.
The new Homeland Security laws and export laws and God knows what else, if applied by a State trooper or U.S. Border patrol (if they ever stop you) could land you in a whole lot of trouble.
Sure, explain away that it is just hunting rounds and you're no terrorist all you want, but the law is the law and if they decide to nail you they will.