Sorry for the slow responses--some graduations, visitations, and wildlife-induced extra chores (think "nest of dead baby raccoons inside the HVAC system") have kept me from the things I prefer doing.
As to the bullet, I tried both inside lubed and outside lubed, heeled bullets. The inside lubed worked all right but severely limit powder space. The outside lubed bullets I have moulds for are just a little to long at the front driving band so they jam into the rifling and are hard to chamber. I have almost completed the dimensions for a custom mould based on the dimensions required by my rifle and some old Henry CF drawings i found on the Internet. Perhaps a Father's Day gift to myself. I saw the Old West mould, but think I will try something just a little different. But thanks for the pointer, Nativeshootist.
As far as brass, I started with .44 Russian and then trimmed to length and swaged the head to about .445 (down from .457). That worked fine, but because of the heavy floating firing pin that is constantly in contact with the primer, I switched to some .44 Magnum I had lying around. The Mag brass has a little bit thicker web (at least the one I cut open and measured did), and I am deepening the primer pocket by .010". This gives me the option of loading large rifle primers (that are harder, and less likely to slam fire) or large pistol primers that are slightly countersunk. I have not played with it enough to figure out which is better--reference lack of time mentioned in first paragraph. Also, I have not managed to induce a slam fire when testing primed cases, but I have managed to dent some primers to the point it made me squeamish. I suspect dropping the rifle with a chambered round onto a hard surface would cause it to fire, but I'll let someone with an expendable original '66 do that testing.
Regarding .41 Mag brass as a base cartridge, I have found that my '66 extractor does not reliably grab the rim, which is a little small. It will pull it partly out of the chamber and then let go, but I then get jams when the carrier lifts up into the partially extracted case. .41 Mag cases work for single loading, but not consistently for use as a repeater. A different extractor or rifle might yield different results. I have the same experience with using .41 Mag brass to form .44 Merwin Hulbert--because of the unique extraction method, an undersized rim often leads to only partial extraction before the case slips off the extractor ring. .44 American revolvers, which use a very similar cartridge to the .44 Merwin Hulbert short do not have the same problem (or at least not as often) because they have a different extractor that makes rim diameter less of an issue.
As a side note to anyone who decides to play with deepening primer pockets (which I have done in the past to put rifle primers into .445 Win Mag brass when reloading for .44 Evans Long), even with a lathe I was never able to get a flat-ground drill bit to work--it would always wander around just enough to make the primer pocket too big. I have had much much better results using an end mill of the proper size (I use something very close to .209), which is much stiffer than a drill bit.
Guess that's it for now.
--DJ
(6/15/18--edited to correct typos caused by typing without glasses)