Here's a test of #4 Buck shooting through multiple sheets of drywall:
http://www.theboxotruth.com/the-box-o-truth-3-the-shotgun-meets-the-box-o-truth/
From 12 feet away, it penetrated 6 sheets and the pellets bounced off the 7th. This is the test apparatus:
http://www.theboxotruth.com/the-box-o-truth-3-the-shotgun-meets-the-box-o-truth/
From 12 feet away, it penetrated 6 sheets and the pellets bounced off the 7th. This is the test apparatus: