It is best to use a fired brass off your rifle. You can send 3 of them to Hornady to have it drilled and tapped or you can buy the drill and tap set from Amazon (IIRC, it's $20) and do it yourself.
This can be very important, or not so much. Why? Because the dummy rounds that you get from Hornady (or other sources that make them too) are usually unfired brass. When you fire brass in your gun, you get some stretch. In a belted magnum, after firing, you can (many say should) start resizing the brass only by dropping the shoulder back 1-2 thou. This then results in your brass headspacing off the shoulder, just like a non-belted case. Better accuracy. But if you do that, you may find that your brass and dummy brass are not the same length. And the Hornady tool measures "Cartridge base to ogive" or CBTO. If you measure to the lands with a "short" case, you will think they are closer than they are.
All of this matters mostly if you are really trying to get close to the rifling. It also means that practically, most reloaders try to stay away from real close to the rifling. For instance, if you are trying for 10 thou off the rifling, and you mess up by .003" you have a 30% variance. If you aim for 30 thou off the rifling (a common number used) then that same .003" error is only a 10% variance. Less likely to mess your groups up.
If your fired cases and the dummy are the same length to the shoulder (as measured by another tool from Hornady, the Headspace tool), you are a little better off. But another Caveat: The Hornady Headspace measurement tool measures only at one standardized point on the shoulder. If your chamber is cut a little different, you could be mislead in assuming that the dummy case and your fired cases are identical.
All this being said, I have never invested in the drill and tap set to make my own dummy cases. I don't have a lathe or milling machine, and while it sounds easy in theory (just drill out the primer pocket and thread the hole) it strikes me that you would have an innacurate tool if the threaded hole was not perfectly in line with the axis of the bore. But if you are handy or have the right tools, it is indeed very easy to make a dummy case....