Seems like a reasonable proposition, if, as enfield2band said, you use pre moulded wax plugs, I could see no reason to use a wad either. For indoor shooting, you would need plenty of ventilation and unless you can wash down the range afterwards, BP would not be advised (explosive residue). I recall mention of peeps using wax bullets for light indoor plinking with nitro cartridge guns too. For either you would need to use very light loads since the wax would otherwise disintegrate, but I think it would be practical.
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TANSTAAFL