I did some reading on slings when I was at university because one of the sources mentioned them being very deadly and I didnt really believe it. The only things I've heard used are stone, lead and possibly clay, but I didnt see.much about clay. It turns out that the ideal sling projectile is as dense as possible, and easily available or easy to make.

For weight/density: lead is best, stones are good, steel also good.

For availability: stones are best, lead is ok, steel is bad. They had steel in a lot of historical times and places, but it had far more valuable uses than throwing it at the enemy as it was the best thing for blades.

For manufacture: Steel is also much more difficult than lead to form, it needs to either be smithed, or it needs to melted at a temperature that is very difficult to obtain with the methods they had. Lead on the other hand can be melted over a campfire and moulded in a wooden mould or even some sand with holes poked in it.

So stones are great because they are easily available and will make a mess of anyone they hit. Lead is great if you can get it because its heavier and hits even harder. Steel is the least effective as it is less dense than most stone as far as I'm aware, in shortest supply, and much more difficult to work.

Normally I go along the lines of we dont know but I'm sure someone, somewhere had a go. But I doubt anyone even tried until steel became cheap and available more recent times as it was a potentially wasteful use of a valuable resource and time consuming process to make a less useful product than what they already had.