Good replies, all, but I think what would be most useful to the OP would be the evolution of your carry style; how you got to the point where you felt comfortable carrying with a round chambered. Yes, it makes perfect sense to carry chambered after acquiring experience with your gun. It took me about a month as a newbie to HGs to evolve to that point thinking about it daily, going to the range, practicing dry firing and loading snap caps.
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To the OP - snap caps come in the same caliber as your HG, so make sure you get the right package (usually around $20 for 5). NEVER mix snap caps in the mag or on your shooting bench/area with live rounds.
ALWAYS double check that you have ONLY snap-caps in the HG when you're practicing. Then, when sure, check it again, and visually confirm what's in the chamber by slightly exposing the slide.
$.02
Always make safety your first consideration when training or practicing; otherwise your first mistake could be someone's last.