Maybe I should try making one too. The clip on part itself would be made from thin steel, like what you might find on a tin can, the clip itself could be almost anything, I think I have some Delrin stock lying around. Y&ou could index it by just putting a slight bend or joggle in the metal up close to the loading port, the clip would then be indexed off of the friction between the bend and the pellet grooves in the plastic clip. I'd bet I could even make one from a tin can and a small piece of wood. Hehe, might have to try that:)
Dan