Do you mean entire shells or just the shot? I don't see a problem with either. If shells, just give them a wipe down and try a few. If it's no. 8 shot, I doubt the clays would mind being pelted by dusty shot as opposed to shiny stuff. But if it concerns you, just chuck the lot in a vibrating tumbler with granulate that is smaller than the shot, run it and sieve out the shot once it's shiny.