I've used them before, not having anything else handy. A club or a rock might have been more effective. Multiple shots were required. Even a coyote deserves better.

If you're not a reloader, I'll second the thought of using standard soft-point factory ammo. The premium factory stuff I've used is great for prairie dogs where explosive terminal results are desireable, but not so great for coyotes or foxes if you're saving the pelts. If you reload, there are a number of other options you can begin to consider.