I've seen an article about a guy that was making .50 BMG bullets from Oilite bar on a CNC, left nice little smoky tracer trails when fired. The Varmint Grenades are made from a copper/tin alloy, I've used these, they don't foul as badly as an all-copper bullet would. The French used a bronze alloy for Balle D. Gilding metal would probably be ideal if you're wanting a solid, where you could get it, I have no idea, unless you're set up to cast bars yourself. Watch the bearing area and it might be a good thing if you could get some kind of chamber pressure measuring rig.
I've not had a yen to do this myself, there's few elephants around here and the buffalo they've got fenced off aren't hunted. So no real need for solids. Varmint Grenades take care of the small stuff, conventional jackets for the rest.