Sweeney balls are pretty sweet , fairly budget friendly and don't require a pyro liscense. Basically Dirt/dust/fullers filled plastic balls you shoot with a paintball gun. They sell shells you can fill too. We experimented with different colors and filling our own with drywall chunks and dust, flour, etc. their premade ones are way better (white for drywall) and easier too.
Hard plastic shells though, would either really, really hurt or possibly injure an actor if accidentally hit an actor. Not for use in real close proximity.
They put holes in the drywall too (obviously) do it ruins the wall.
Google them to find the seller, can't remember off the top of my head.
Hope that helps!