I made my own dummy rounds out of live rounds, but I would never ever recommend that, and won't tell you how to do it. There is a lot of room for mistakes to be made, and dire consequences if they are. I was poor and, though I was careful and took precautions, drilling into live shells was still very, very stupid. After the fact though, they work awesome. There is no better substitute than the real thing, I haven't found any commercial dummy rounds that feel and grip like real ones. I would highly suggest getting a reloader friend to make some for you without primer or powder ever involved instead of risking it like I did.
**IMPORTANT SAFETY TIPS**To make them I bought a box of shells that I never use operationally, which look unmistakably different from the shells I use. (ie. if you only shoot red Fed/Win trap shells, make blue dummies) If you get some made, get all of them made. Don't keep any live ones of the same type. They stay segregated from live shells, kept in a specific drawer only for dummy rounds, with a known quantity. Just like commercial explosives, they are counted when taken out and counted when put back in. I do not ever bring any live rounds into the room where I practice. Every piece of ammo, and every magazine, are checked, double checked, and checked again before I start practicing. Also, while I refill my caddies during practice, I'll usually have a quick look at the former primers just to have the comfort of seeing epoxy instead of brass. Honestly just treat it with the same principle that you treat any firearm. Always assume it's dangerous until positively confirmed to be safe.