To be honest you're pretty much better off buying it loaded. There's little gain loading your own. Trick is to wait and buy it on sale from the good places and never let anyone else have your money

. I get Federal premium 3.5"s for 13/box, 3.5" Remington nitros for 14/box, 3" non premiums for 10, 2 3/4" non premiums for 6 a box.
http://www.ballisticproducts.com/ I wanna say that this is the site you want. They'll even have the wads you need, which most places don't seem to for steel. Mebbe somebody else will know more about good spots for steel loading supplies.