I've slugged dozens of bores and only had one get stuck. There was a crater on the side of the barrel and I forgot to grease the slug. I don't agree that you'll "lose lead" to any extent that it changes the final dimension of the slug.
I wouldn't use split shot, you need an "egg sinker". I haven't looked at WalMart lately, but I bought several packages a while back so I'm probably good to go. I generally tag and save them for future reference, but it would be easy enough to reshape them to a larger diameter and use them again.