Do they make cool 37mm rounds? Out are the real cool ones ask 40mm? Of it's not a registered DD are you limited to just flares?
Anything that can be considered a projectile other than a flare or a paper/plastic smoke is prohibited.
40mm barrels are rifled and can spin arm HE rounds, they have toe be registered as a DD, 37mm barrels are smooth bore and can't arm anything but the minute you try to run something like a 12ga adapter or flechette round you just made it into an unregistred DD due to bore size and application.
If you are going to play with these be content with what's legally kosher for your launcher. If you really want to do more than just flares then spend the big bucks on a real M203 setup and make it a registered DD then you have all sorts of cool rounds other the $400+$200 tax unobtanium HE rounds to play with(buckshot, flechette, tear gas, hives).
If you try to be silly and launch something that can be considered any sort of weapon out of your 37mm launcher you are asking for huge trouble.