I did a bunch of testing on muzzleloader bullets a couple years ago with my son for a science project. We built a catch box that had an opening to shoot into (used card stock paper to keep the sand in), and filled it with damp play sand. It did a nice job of catching the bullets, and I could tell how they performed pretty well. Plus we could use the sand over and over, and basically set up the same thing for consistent testing.
Obviously that is not a game animal, but you get the idea. I know guys have used jugs with water, problem is how many jugs do you need....and you blow them up every time you shoot one bullet.

Agree with NC, ask about the bullets you are interested in first.