First, we are going to create the bullet slug. Create a spline that resembles the one on the picture.

Apply the Lathe modifier to the spline and set the segments number to 16. If you don’t get the object like on the picture, try clicking on the Min/Center/Max buttons in the Lathe modifier properties until you get it.

Add the MeshSmooth modifier to the object and set the iterations number to 2.

Next, we’ll make the bullet casing, so create a spline like is shown in the next picture.

Like with the slug, apply the Lather modifier with 16 segments to the casing spline.

Add the Edit Poly modifier and go into the Edge selection mode. Select the edges (shown in red in the picture) and chamfer them a little bit.

Switch to the Polygon selection mode and cut the long vertical polygons in three spots, as in the picture (probably best done by using the Slice Plane in Edit Poly options).

Finally, do a little more chamfering at the bottom of the bullet casing.

Add a MeshSmooth modifier to the casing (Iterations: 2);