I prefer to shoot (and reload) the same grain bullets at the range as I am using for SD to come as close as I can to the same "feel". As for lighter bullets being cheaper, that can be the case but not always. Check out Georgia-Arms.com. Their "Canned Heat" 185 gr FMJ's and 230gr FMJ's are the same price. This is bulk ammo and the best way to purchase ammo for those not reloading. I just purchased and received 500 rounds of their 125gr 357sig and am very pleased with the ammo.

ammunitiontogo.com is my source for SD rounds. SD rounds ain't cheap, though. Remington Golden Sabers in 230gr JHP's are what I carry for SD.