Bigcountry, I don't use the heavy shot and just stick with the steel. I guess cost is the biggest factor. I know you have to use a "looser" choke for steel. (a steel load out of a modified choke is pretty similar to lead out of a full choke - so I've been told and feel).
I haven't read anything on what chokes to used with the various heavy shot materials but I wouldn't use anything too restrictive with the harder stuff as you may damge your choke/barrel.
I would contact the ammo or gun manufacturer and see what they have to say. If you do, let us all know what they said.