Some good questions!
1. For muzzle loaders; Use pure lead. (as pure as you can get it) I bought a Plumbers "Pig" of lead, 4-connected 25lb ingots some years back and have only recently used it all up. It produced some fine bullets for Muzzle loaders!
Now, because of U.S. OSHA and building codes, lead is out of plumbing so it's hard to find. You can try to use wheelweights, but generally the bullets will be oversized and too hard. Hard to seat and will not obturate to seal bore properly with conicals and will generally yeild poor accuracy.
2. I have an assortment of moulds, but for just starting out, try the Lee Aluminum moulds. Follow the directions closely. Clean the moulds very well before first use and blacken cavities with butane cigarette lighter before casting. Also, absolutely before casting first bullet, heat the mould by placing a corner in the molten lead for 15-20 sec. and lube with 50/50 Alox-wax bullet lube per Lee directions. Even if you have to purchase it additionally, this is a MUST. Failure to do this will drastically shorten the life of the mould and void the warranty. I even use this technique on my Bronze/Brass, and Iron/Steel moulds now.
3. No sizing necessary. for muzzleloader slugs if you use "pure" lead. They (bullets/moulds) are designed to come from mould to match standard bores.
You will need to use some form of lube. I've found the Wonder Lube to be good, also Hodgdons "Spit-Patch". I usually revert to "Crisco" though when nothing else is close at hand. I also find a patch lubed with Crisco to be good for swabbing after every 3-4 shots to remove most coarse fouling.
4. At most recommended charge levels leading won't be a factor. The slugs won't break apart at most muzzleloading velocites. (assuming your'e using standard data and black powder or substitutes.) With a Lee REAl at 325gr, 100gr of powder (recommended max before current flurry of in-lines) will run upward of 1500fps and will penetrate most any N.American game at hunting distances. (compare to .50-100 buffalo/african rifles!). My prefered "big game" bullet is a T/C Maxi cast from a T/C mould (discontinued) over 90gr of GOEX black power (only brand I'ver ever used) or Pyrodex RS. Above this accuracy falls off and recoil becomes obnoxious. 70gr is most accurate generally with most loads and many of my aquaintances compromise at 80gr. Lyman still offers the Maxi-ball mould however. I still shoot mostly round ball as it meets most of my M-L needs, especially for small game hunting- 50gr w/.490" RB is a wonderful small game load and very accurate.
The only use I have for the "Newer" technologies is the Sabots. My older Sidelock gun with a 48" twist will not shoot them for nothing. However, I got a "steal" on a close-out CVA "Eclipse" that I have put a reciever sight on to hunt hogs on a WMA during "small game hunts" (has faster 1/32 or 1/28" rifling). With the Hornady .50/.45 sabots and 75gr of Pyrodex RS and various .45 cast pistol bullets cast from Wheel Wts, I'm getting 3"groups at 50yds. for a very in-expensive load. (at least compared to 14.00 for 20 that seems to be common these days. Obviously most people that shoot muzzleloaders using the various sabot/bullets or power-belt bullets don't shoot much!).
However for the cheapest M-L shooting, its hard to beat the economy of a cast round ball and a swatch of linen, and a dab of Crisco. Not very "romantic" any more, but will still put the venision (or squirrels) in the pot!