I have heard about making a type of paper cartridge for percussion black powder cartridges, something to the effect of rolling a cigarette with a bullet on one end. Has anyone ever tried it or know of a source of information for something like this?

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Yes!! I have made 'em this way, with cigarette paper, and it works great! Both with a bullet, and without bulets as blanks for CW re-enactment battles. I found ClearShot works well, as does FFFg black powder. The paper generally burns up completely, and does not leave dangerous, peristent glowing cinders in the revolver chambers! Using Clearshot, the gun stays relatively clean all day during a battle.....