I've had good success using diesel fuel, but you need lots on hand, as you have to change it out as it heats up, also need good ventilation.
I've heard of people using antifreeze, and I read about one guy who used just water by keeping it hot enough to keep the surface tension down, around 90C if I recall.
Go to shotgun world, and there is a really long thread there on making shot, and I learned a lot from it, including a lot of possible cooling systems.