If you have the time and powder, and shot, fire away. I just think you are going to be more disappointed than you now expect. You can buy slit shot weights for fishing lines, and clamp a few of them on a length of fishing line to make line shot, but the shot will slow faster than if the balls are not connected, and the weight and air resistance of the tied together shot will cause them to drop quicker. If you saw your shot, as suggested, to accomplish the same thing as just buying split shot sold fir weighing fishline, you certainly will fill up your time with something to do, but the results won't be much different.
The standard twelve guage shell holds 9 double -0- buckshot, while the magnum, or 3 inch shell, holds 12. Since you are using only six, I don't see you endangering your gun much at all. I would not want to shoot these in a choked gun. They may not hurt the gun, but I don't think a steady diet of these kinds of projectiles is going to do much good to a barrel made for BP loads if its choked.Its got to be hard on the choke, or choke tubes, and banging large shot through a choke is going to make flats, and distort the shape of the ball, so that it slows fast, and disperses from the POA faster. That means wider patterns at shorter distances. Great for a self defense load, but not very effective for much of anything else.