OLD ones form the 20's and 30's where the Wild West was Fresh in everyone's minds especially the actors.
Even in the 1920s, most people did not know what life was like on the frontier. Most of them had never been on the frontier, but lived in cities or on rural farms in the eastern half of the nation. And their opinion of the Old West was heavily influenced by dime novels and potboilers, cheap thriller novels about events on the frontier. One gentleman in a biography I read said that frontier life in the books was a lot more exciting than life on the frontier.
If you look at old Colt deluxe pistol cases (the wood ones), they typically had a screwdriver, a flask for powder, and a ball mold right next to the pistol, so it is highly likely that some people cast their own balls and loaded their own ammo. But original molds are not as common as you might think, probably got tossed in the shed and left behind on trips. Lead is heavy to carry, and the risk of injury when smelting in an improvised camp is high, so many probably did not cast their own. Shotguns were common, and people used nails, rocks, and the infamous dimes for projectiles, but lead shot is very versatile when you don't know what caliber or gauge you will be loading next, and balls were available in any town where there was a blacksmith (just about all towns of any size).
Carrying your belongings in saddlebags on horseback limits you to about 40 lbs of gear, about what you could store in a backpack, so you have a change of clothing, raingear, spare boots, and as much food as you could carry. If you have a pack horse, it could carry another 200-250 lbs, still not a lot of weight in an era when things were made out of cast iron, brass, wood and leather. So, not a lot of room to spare for smelting pots, molds, and lead ingots. I will assume that folks did not carry a lot of implements and supplies for reloading, but probably bought ammo when they needed it, and were very careful of how and when they shot.
I am in the camp of believing that most people simply did not shoot as much as shooters do nowadays (with the possible exception of professionals of various kinds, both good and bad), but that there were a lot more guns available on the frontier than we might otherwise suppose.