Well, I don't use conical bullets in anything except my .58 rifled muskets and my Schuetzen but I think I can help you with the loose fit you've noticed.
First off, I'll say that they should be a "close slip fit" in your barrel. They shouldn't have much more than a hairs thickness of clearance to the bore. Two hairs thickness max.
Note, this is the clearance to the bore, not to the bottom of the grooves.
When you fire the gun with the bullet sitting on top of the powder charge the laws of Physics take over. As you know, things that are stationary want to stay that way. In other words, they resist movement.
When the powder fires, the rear of the bullet wants to move down the bore, but the front of the bullet does not want to move.
With this little disagreement going on, something has to give, and the part that gives is the middle of the bullet.
It wants to get out of the way, but the only way it can go is outward into the grooves of the bore.
That is exactly what we want it to do.
This enlargement of the bullet is known as obturation. It happens in all guns to all bullets.
In a cartridge gun, much of this obturation is wasted by the bullet swelling inside the mouth of the cartridge case. Thats (IMO) one of the reasons cartridge guns bullets are larger than the groove diameters of the barrels.
With a muzzleloader of course, the bullet does exactly what we want it to do. It grabs the rifleing and it's on it's merry way.
Because obturation is so important in a muzzleloader when shooting a bullet, the lead must be
pure, soft lead. Any hardening alloys will reduce the amount of obturation and if this is reduced, the outside of the bullet will not seal tightly in the rifleing grooves.
If you buy a mold, keep that in mind.
IMO, wheel weights, pistol bullet lead, solder, or any other lead alloy will not be accurate, and will leave deposits of lead throughout the length of your barrel because the hardness keeps the bullet from fully swelling.
I mentioned that the clearance between the bullet and bore should not be very much. This is because even with pure lead, the swelling is somewhat limited.
This close clearance requrement will cause problems in a badly fouled bore. That is why the Minie' bullet with it's hollow base was developed.
With military guns they have to be able to load with very badly fouled bores so the bullet to bore clearance must be rather large. So large in fact, that obturation will not work by itself. The hollow base of the Minie' bullet provides a weak, thin area that is blown out into the rifleing grooves by the gas pressure of the exploding powder.
Hope this helps answer your question.