I form mine from .45-70 cases. It's an easy task, by running them through my .40-65 dies, and then right into the .33 Win dies, and they're ready to load!
If you don't have .40-60M or .40-65W dies, a set of forming dies from RCBS will do the same thing, but I found it was cheaper to buy a set of Lyman .40-65, and a set of .33W dies, than to buy the RCBS forming set. $45 vs. $85 for the forming set at Midway USA.
Purchased some .25-21 Stevens Bertram brass from BA. Loaded them to a mild 1200 fps, with 86 gr. bullet. Same load I have used in my older original Stevens cases. In the first firing, 10 of 20 split about 3/8" below the mouth, and about 1/2" long!
I thought this was strange, until I started asking around, and got several people describing my split, before I even had a chance to go into details. I was told by several people that Bertram brass in smaller calibers has a reputation for splitting in this same manner.
I later bought some more in .25-20SS, and decided I'd anneal them first, to eliminate the chance of splitting. Loaded them, and the same thing happened! That's about $42 worth of ammo wasted in one firing! From now on I'll stick with RMC lathe turned brass, or original brass!