Winchester has been teasing us with its new Traacker shells; but I haven't been able to find anyone selling them, yet. Midway and others have them listed and offer to tell you when they arrive...
The shells have a shot wad/cup that traps some of the pellets, allowing it to stay with the string out to 40 yards or so. Fingers of the cup also spread out making it more visible. Available in orange or black for different lighting conditions.
The problem I see is that, even if the wad stays with the trajectory of the shot string, because of increased drag resistance, it will lag behind the end of the shot string. Still, better than nothing, I suppose. I look forward to trying it. The good thing about the Traacker shells is they will not be much more expensive than regular shells.