There are a number of bullets in the world that have mild steel jackets and lead cores. Most are plated with something like cupronickel or copper to prevent rust, and the lead core gives enough for the mild steel to talke the rifleing with no excessive pressures, and little barrel wear. However, I believe a SOLID, groove-diameter STEEL bullet would be something else again! Engraving such a thing would be very difficult, probably causing excessive pressures, and in all probability damaging the bore. I would not attempt such a thing. Armor-piercing bullets have tungsten cores, which are very hard. But these cores are surrounded by a lead plug and a gilding metal jacket. The ones I've seen taken from M2 ball AP bullets appear to be about .25 caliber or so, and NEVER TOUCH the bore of the rifle they're fired in!