This comes up from time to time. I've tried it myself, and it works in a pinch, but it's risky since the diameter of the cut shell is wider than your barrel, and thus is more likely to get stuck and cause overpressure. I wouldn't do it regularly. Wax slugs however are much safer since they're no wider than the shot cup.
Remember a few safety precautions. Only load custom loads like these directly into the chamber, do not put them in the tube as there is a risk of them opening up and spilling. Also always check to make sure your load entirely cleared the barrel every time you fire and that there are no obstructions left behind.