Hundreds of people in the N-SSA shoot .44-40 black powder loads in brass frame and iron frame Henry repros. Since they're all made by Uberti, they're essentially the same as your 1866. Very accurate loads run around 25-30 grains 3F, CTG, or Swiss, standard primer, and a 240-250 grain bullet. I designed a target bullet that Tom at Accurate Molds cuts that shoots very well. Deep lube groove, increased weight and bearing surface for accuracy, same nose profile as the original 205 gr factory bullet for reliable functioning through magazine. Load to 1.605" overall length, with a decent crimp if yoiu plan to load through the magazine. You can load longer, and use Keith-type bullets if you're willing to single load. Here's the bullet I designed for .44-40 BP loading.
http://accuratemolds.com/bullet_deta...=43-245C-D.png
Visit N-SSA.org, bulletin board if you'd like to interact with more folks who have shot hundreds of rounds in .44-40 with black powder as the only propellant.