Bill,
You shouldn't have to carry it unloaded to break it in. No reason not to keep it loaded IMHO. Worst case is that it is hard to get off if you have to draw, but there is not safety issue in carrying.
If you want to speed up the break in process, wrap the gun in a layer of cellophane, or even a cheap grocery store plastic bag, then put the gun in the holster overnight. That provides gentle stretching -- the more layers, the more the stretch. I don't find that pocket holster need a lot of retention.
However, if the holster sticks a bit, its pretty easy for it to catch on the pocket edge on the way out, especially if your draw stroke is slightly to the rear of the pocket.
Yes -- Wally World carries plain old .38s in my area. I think the only premium defensive loads are Hydrashocks.