For Shotgun shells i use thin plastic zylinders (like the Standard of the Perry plastic ACW Figures

). Just paint the one side red the other side silver/brasslike with a black point for the shell's hole.
You can use every thing, plastic spears, and even plastic sprues.
Instead use small pipes. You can find plastic and copper pipes with 2 to 10mm average in do it yourself Markets (think they are called DIY Markets in english?)
With closing one edge wit a piece of Plasticcard you can make every Bullet shell you need, for bigger shells like canon shells you can look for brass etched accesoirs for model kits
