I haven't seen any "snap caps" in .22 or any "rimfire" cartridge. They have "dummy" or "training" cartridges for use in checking the action and other training applications. I would strongly recommend against using fired casings or anything that could be easily mistaken for a live cartridge. Doing so may result in a ND (Negligent Discharge). Your question regarding dry firing your .22 caliber pistols would be best answered by the manufacturer. To put it another way, "read the book" if you haven't already done so. If you're unable to find the info in the owner's manual that came with the pistol, I would recommend that you contact the manufacturer directly. Most firearms manufacturers have some type of website or other online presence.
Be sure to get adequate practice with whatever firearm you plan to carry. If you're required to be licensed to carry the firearm, it would be in your best interest (as well as other gun owners) to acquire the proper licensing before carrying the firearm(s). Be sure that you run a couple of boxes of your SD (Self Defense) ammunition through your SD firearms. You don't want to hear your gun go "click" when you need it to go "bang". Some firearms will not cycle ammunition such as hollow points properly. If this is the case with your firearm, have it serviced by an appropriate gunsmith. Cycling problems are usually not a problem with revolvers, but you should train with a couple of boxes of your SD ammunition so you will know what it feels like and see if there is any deviation in the point of impact from your target ammo.
Get as much range time as you can. When you're not on the range, practice dry firing and drawing from your concealed holster. This can be done at home or anywhere appropriate. (By appropriate I mean an organized training situation. Practicing holster draws while waiting for your Starbucks coffee could get you into a heap of trouble. )
Feel free to ask if you have any questions. Take a look around at the other threads to see what info is out there. There's a lot of good info on this site, though like any site, there may be some "bad" info as well. If you're unsure of the validity of the info, find a reputable source to verify. Keep in mind that some of the info you receive ANYWHERE online may be worth exactly what you paid for it. In some cases it may even cost you.
Welcome to USA Carry. Happy shooting and be safe!