I have shot them with a 410. It's a fun round. I imagine winging grouse with 410 would be more difficult (though I have never tried)
12ga with a modified choke seems to work great. So far I have shot a few dozen with the 12ga and never put more than 2 pellets in (through) the breast. I have missed some close up grouse where I try to aim high. I actually ordered a IC and Skeet choke recently to see if that makes shooting close birds easier. I know it will be at the expense of longer shots and I'll kick myself when those opportunities are presented... but overall since most are within 25, IC or Skeet might be more appropriate. I guess I will find out soon.