Its cheaper to reload than to buy factory loads - my 12ga reloads are about $3.50 a box vs $5 - $6 retail for a box of cheap loads.
Can you reload steel - yes with special adjustments or with a different press than you use of lead ...... but is it worthwhile, not in my opinion. Can steel be used for Clays - sure, and there have been a lot of articles written about it in the last year or so / but it has its limitations and pros and cons.