You can load 40 S&W to major but ONLY is you load it LONG. That means much longer than spec and long enough than it will NOT will fit in most guns, Glock, CZ etc. About the only guns that can chamber these long loads are 1911s, and it had better be a strong one at that.
The loads are HIGH pressure, and any little mistake, or even the bullet being pushed into the case a bit, could result in a KABOOM. Loading long reduces the peak pressure substantially, and the opposite is also true, shorten the OAL and your pressure goes up very substantially.
I would strongly recommend NOT using Clays for 40 major.