So long as you don’t have an over-bored barrel and you are running a cylinder choke, a cut shell if done properly shouldn’t be too hazardous to the weapon. If you need a slug, though, all you have are rounds loaded with small diameter shot, and you have some advance knowledge of such a need, a wax slug is a far better option.
A wax slug, for those unfamiliar, is where you cut the very tip of the shell off and dump the shot into a pan, leaving the wad and powder in place. You then melt wax in the pan with the shot. It can be any kind of wax, even crayons. You then use a spoon and you scoop up the wax laden shot and pour it back into the shell. After all of the shot is back in the shell, you let it harden. Don’t simply try and pour wax into the cut open end of a shell over the shot. The results will be very poor if you do that.
What you have when you do that is something akin to a giant ‘Glaser’ safety slug, and similar to a modern day ‘breaching’ round. It’s minute of deer accurate out to about 50 yards.