I have used Hevi-shot in the past and if it works in your gun, go for it. I personally dont care about shell cost. I dont like to waste money but gas, calls, decoys, blinds, your license, and other travel expenses are what drives up the cost, not the shells. I shot 4 times last year (ok I admit one was a miss!), so the cost of the shells isnt my worry.
Dialing in the pattern may cost a bit, but overall once you are dialed in the cost of expensive shells shouldn't be a worry.
I am shooting old school Remington 4x6 Magnum blend currently, since my 870 with briley .665 choke likes them- they happen to be fairly affordable but thats not why I chose them. I will probably give the Magnum blend a try to see if it works better provided I can find time to hit the range.