The shake and bake method we use to create static and make the powder stick adds minimum thickness. Like Reed said, I have sizing dies too. I've cast, coated and shot tens of thousands of bullets, slugs, and pellets will no issues so far. When I comes to airgun projectiles, I only use pure soft lead as well. I can tell you that I've pushed powered coated bullets over 2000 fps and found the coating intact when I recovered them. This is a HP coated in Eastwood squirrel gray without a gas check.
Leading can happen with any barrel, so being able to mitigate that is always worthy of a trial. I powder-coat bullets as well for my muzzleloaders and have shot about a dozen powder-coated bullets through my airgun (9mm). So far so good, but I'm shooting at really reduced velocities too, so the upper levels I can't speak to as to holding together. Powder coating IN MY OPINION benefits the experience. I'm going to try powdercoating pellets as one did here to see how it goes. Do I expect any ballistic benefit, no, but that doesn't mean that there won't be something to gain along the way to the target. I say go for it if for no other reason than to say you did.
