If you are talking about taking apart a live shell and substituting lead for steel, then you you can do it BUT the weight of the lead shot must be the same (or less), NOT VOLUME of shot in the shell. You will need to make up fibre spacers inside the plastic cup to take up the unused volume. You can make the spaces up by cutting down (maybe) 28 gauge fibre wads (if you can find them), or using 12 or 20 gauge fibre wads and take a hollow punch to them to make them the correct size.
The fibre wads under the shot is important, because most steel shot wads don't cushion the shot much because steel shot doesn't deform, and they need the room for a long shot column.
Otherwise, see posts above.
Quite honestly it is a lot of work and unless you have a loader for 3" 20 gauge shells, you won't be able to close up the shell properly, and it will open up.
Best solution is to buy some 20 gauge lead for targets, or if hunting, use Kent tungsten matrix shot rated for lead only guns.
Is you gun rated for 3" shells?