Cowboy action is an absolute blast (no pun intended), but you're right; it's pretty expensive.
There are classes for BP cap and ball, however. It's not nearly as common, but it is somewhat cheaper. Still gotta get the lever-gun and scatter gun, though.
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I just picked up a Uberti 1860 Colt Army in BP, will need to get a conversation cylinder to shoot .45LC. My Pietta Remington new army already has the conversion cylinder. Half way there in the pistoL department. Do many people conversion cylinder pistols?