Yeah I don't recommend doing it at a gun range in particular, mostly because the chance of succeeding (doing it quickly and without hesitation) without intervention (getting tackled/restrained) is very low, especially with lots of people around. Then adding to the fact that it would bring unnecessary trouble to the gun range owners' for suicide at their place of business. As for gun range policies, I believe most have some anti-suicide policy which means they only rent to those who have their own personal firearm (meaning that someone who has one is one who is legally able to acquire one) and/or have a friend with them before they rent it (in order to discourage suicides).
As far as homemade shotguns and ammo, I used to fancy that idea over a year ago (before I acquired my own actual firearm, 12 ga shotgun), but then realized it was better to have the real thing than to risk failure/mishap.