The answer to your question is definitely a big old YES. And the same with powders. Don't fall into the pellet trap with powder. Get loose powder and a measurer. That way you can fine tune your charges to what your muzzleloader likes.
As for the bullets, and I'm assuming you have a .50 cal rifle, you can buy either .44 (.429") or 45 (.451") bullets with the proper sabots separately. For sabot selections you can go to the MMP site or Harvester site. I prefer the Harvesters but MMPs are also very good. Depending on the tightness of your bore you can use the regular (smooth) Harvester sabots or if your bore is tight and you have trouble loading your bullet of choice you can use their crush rib sabots (vertically serrated surface).
I like bullets in the 240 - 300 grain range and my favorite bulk bullet is the Hornady XTP. I've been trying to get my hands on some Speer Gold Dots but can never find them.