I took two grouse last year with 12ga #4 which is kind of my go-to shell for a lot of things. This year I'm going to try using my 22. I missed a pellet last year and chipped a tooth. Not badly, but it gave me enough incentive...
On the wing that's a tough shot. But if they're on the ground as they sometimes are and you have a decent 22 you can head shot them just like you'd do a squirrel or rabbit and then you have no pellets in your meat...
I still have a large stockpile of lead shot for all of my shotguns from way back when it was legal for waterfowl, and as long as it is legal for upland game that is what I'll use. That is unless I am packing a rifle or pistol hunting something else and I happen upon a bird to shoot and it is legal to do so
You may not use a .22 for sage grouse in Wyoming. The .22 is legal for Huns and rabbits. Check the regs closely. I was out antelope doe hunting, and my younger partner and I had .22 handguns for rabbits and snakes (we got both). We saw some sage grouse, and almost had to tackle the guy to stop him from shooting. We drove by these on a two-track, but I have walked and flushed several also. It's tough to carry a rifle and a shotgun though if you are hunting on foot.
One thing that everyone needs to do when headed to do a out of state hunt is to get all the guide books of what you plan to hunt and read up on them.
In Colorado you can use just about anything to hunt upland game including the kitchen sink but if using a shotgun it needs to be plugged. But sage grouse are considered a migratory bird so only a shotgun on them Now go next door to Utah and any of the birds you have to use a shotgun and it doesn't need to be plugged. No center fire or rim fire rounds allowed.
You can't just take thing for granted anymore when you head out of state.