The "reloading" is dirt easy as compared to rifle and handgun rounds. You pretty much just pour in powder by measure, and push and screw the stuff together.

I like this guys shot wads, and finned payload capsules http://reloadableshells.com/index.php?id_category=7&controller=category

I like these American Specialty Ammo cases better though. Much simpler, all you do is press in a 209 shotgun primer, with a little paper towel to make the primer tight, and it's otherwise one piece, the ReloadableShells ones, you have to mess with blanks and the copper burst-discs etc. which is much more complicated. Although perhaps worth it if you want things to be smokeless and cleaner.

http://www.americanspecialtyammo.com/37mm_Reloading.html They also have cheaper cardboard payload cups for smoke or fireworks/flare mixes.

You can get smoke mix, and firework "stars" and whatnot from places like here: http://www.skylighter.com/


Also, people on Grog's Launcher forum have occasionally had good luck just finding various Chinese fireworks, smoke bombs, fountains etc. that happen to fit inside various common 26.5mm, 37mm, or even 40mm launcher cases, and you pretty much use them as is, just stuff them in with an appropriate Black Powder or Pyrodex lift-charge, maybe put a cardboard spacer disk in there, glue a little BP onto the fuze to ensure ignition by the lift-charge.

You can also shoot batons, make big-ass buckshot rounds using the wads/cups on the pages I linked.  You could also just fill the finned capsules with sand to make a big "thumper" baton round.  

As to the destructive device limits, you're limited to 1/4 oz. of explosives in the projectile, or they become DD's themselves. But 1/4oz of black powder is 109.3 grains, which is a pretty beefy powder/bursting charge. You're not limited by weight on smoke or signalling mixtures that create light etc.

Also, CS gas and OC pepper are NOT DD rounds. They're considered to be "defensive". Because in theory, you shoot those near people, and the gas repels them. I know some people have gotten their hands on CS gas powder and made their own gas-grenades.

Like the beehive .22LR rounds, adapters for 12ga for 37mm are scarce, because most of them are unregistered, and they don't want to make products that will unwittingly tempt people into making unregistered DD's, or knowingly tempt them. Although they might make you one if you send a copy of your F1 or F4.

You could also get the LMT bored out to 40mm, if that's one of the makes that has enough "meat" in the barrel. There are SOT's who offer that service.