My Father ran slugs through a Winchester Model 97 with a ful choke without any problems. I still have that gun and shoot ot today. Not sure if theres enough difference in the more moderen screw in choke tubes or not but if thats the case a IMP CLY choke tube is not that expensive
It shouldn't be an issue on a fixed choke gun unless the barrel is really thin, but may be bad to do it in a screw in choke barrel. You may not be able to unscrew the choke afterwards.