I just bought a new Century Arms imported WASR-10 this afternoon.

Everything looks really good, so tested the action with snap caps.

I only have 2 snap caps.  One works like a champ, but the other one doesn't seem to be getting past the ejector.
It fails to eject.  When I open the bolt, I can see that it sticks out of the chamber a little.
When I tilt the rifle back, the snap cap just rolls out, so it's not stuck.

It's just the one not loading right, the other one loads fine.
I tend to think it's a defective snap cap.

Should I try loading and ejecting some live rounds (one at a time) ?
Or should I just order a set of headspace guages?

Try live rounds.

Snap caps are just that....snap caps, NOT test dummies.
Snap caps are not made to the exact size, shape, weight, or balance of live ammo and aren't intended to give any indication of how the action is working or to diagnose problems.
They're just intended to pad the firing pin, nothing else.

If you want to test an action buy Action Proving Dummies from Brownell's.  These are the exact size, shape, weight, and balance of live rounds.

Needless to say, if you're going to use live ammo, do it on a range where it will be safe if you have a little Oops!

Thanks to both for the advice.  It's easy to fret over a new gun.

I'll just wait till I get to the range.
If a couple hundred rounds of Wolf go through, I won't worry about it.

Those el cheapo snap caps are aluminum.  They'll work a few times but an ak extractor will break the rims off or bend them to where the extractor wont work properly.

Grab some dummies made from real cartridges. And they're cheaper than the snap caps, I grabbed mine off ebay.

Like others said, go shoot it. And don't ride the charging handle!