Why yes Sherlock Holmes,...do tell... 
Note that after the initials are put on the bullets and they have them draw the pictures, they never show the tips again. They are covered by their finger tips when the pictures are drawn. And the statement is made that they are going to hold the bullets so the cameras can see what is done.
By that time, the bullets with the initials are in their pockets. Note also that when they bring the guns out and have them verify the bullets are going into the guns, that the tips have been inserted covering the place where the initials would have been.
Now, the bullets that were initialed had already been fired and recovered, so they had rifling groves but they were covered by the case.
All that is left now is for them to swap the initialed bullets, pull them from the case and put it in their mouths. They had all the walk back and forth across the stage to do it.
The bullets in the guns were probably squib loads powerful enough to push the bullet out of the case but not out of the barrel. Note that they told the folks to put their fingers in their ears so they would not notice the weak loads.
The class was broken by what ever means is used to simulate a bullet shot through glass.
All that is left is for them to pull the empty case out of the guns.
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