A lot of WY has pronghorn season that overlaps the sage grouse season. When I hunt pronghorn around Farson WY we always take a few grouse. But if you want to eat the birds avoid shooting the mature birds and go for the smaller juvenile birds. The older ones are pretty "gamey."
I have also tied sage grouse and antelope together in CO but the grouse season runs a few weeks before the pronghorn season so I hunt the grouse on a scouting trip for grouse.