I've shot about all the high density pellets and they do kill better than steel. However, at normal waterfowl ranges, most of them pattern very tightly - sometimes so tightly they're hard to hit with. And, the steel loads we have now are very good, at least at over-decoy ranges. I tend to shoot 3-inch Winchester Supreme High Velocity 2s at decoying ducks and I save the HeviShot, HD, Xtended Range, etc. for days when I think I'll be taking longer shots.
I do love the tungsten-iron non-toxic pellets for turkey hunting, especially Hevi-13.