Not sure what the laws are like in NZ regarding ammo. I collect ammo as well and in addition to shell casings and dummy rounds, I do have a couple live rounds here and there mixed in. Modern live ammo is pretty safe to keep around, it doesn't randomly go off or anything like that. Even if you throw it in a fire, all it does is cook off and it just makes a popping sound. Not enough pressure for the projectile to go anywhere. Need to be very careful with the drilling thing because you could set the primer off. 7.62x39 is Berdan-primed, so there is no easy way to remove the primer. The tool you want is called a bullet puller, here's a link:
http://www.benchrest.com/hoodpress/bullet_puller.html For a shotgun shell, it depends on wether or not it's a star or rose-petal shaped crimp. The idea there is that you would use a knife or similar to undo the crimp, pour out the shot and powder, then close the crimp back up again. Messing with the primers is a bad idea because it would be easy to set them off by drilling them (or heaven forbid, hammering them out) and I have heard of people injuring themselves that way.