I know of a few times this has been discussed. They usually result in someone blindly paraphrasing the law about destruction of currency. Thanks in advance on whether you have advice about this, but it won't be needed here.
Now that's out of the way, why aren't people doing this? I'd imagine that making dies for this is not impossible, and the operating cost would be extremely low once being able to realize .01 bullet jackets. If you're going to spend 5-25 cents on a jacket anyways, why not just destroy a perfectly good penny and put it to use in another fashion? I'd prefer to think of it as "upcycling"