Yeah, dummy rounds are easy to make. Even if you don't have a press you should know someone who does who can make some for you in a few minutes. The lack of primer is pretty obvious. I like to leave the pockets open because then it's obvious if you did something dumb and put powder in them -- it falls out the bottom.
If you're feeling paranoid, You can toss on some spray paint so you can tell at a glance that they're not normal rounds.
I like to use a retired or off brand magazine for it. Of course, that's easier when crappy 1911 mags are < $10 each.