I just got my first bag day before yesterday, got it at Tractor Supply (a feed & farm store), where it was advertised as horse bedding.

The pellets are a little big for the scooper at first, but when they get damp or wet, they turn into sawdust;
it's easy to scoop out the poop, & the wet sawdust can be put into the compost pile.

So far, I like it better than the clay type.

Clay is heavy, very dusty, & as far as I can tell, not biodegradeable, so I have to lift that stuff twice after I get it home, once putting it into the litter box & once when I haul it out on trash day (it also makes a bag of trash very heavy).

The wood pellets seem to not make me sneeze as much as the clay, & I haven't seen any sawdust-colored pawprints on anything, while the gray clay seems to track & adhere to whatever the cats walk on.

I'd say it's worth a try.

Below is a discussion of using the pellets. I don't know what the wood stove pellets look like but the pellets we used for the horse stalls at shows had to first be sprayed with water in order to break up the pellets......then we could spread the bedding around the stalls. They did make scooping up the horse urine easier but we noticed, and heard from others, that not all horses did well with the pellets. Some people complained their horses developed respiratory problems and we did hear lots of sneezing and coughing from the horses at the shows that used the bedding.

If you're going to use pellets, the equine are probably the most cost effective.

Here is a link that might be useful: Pellets

Some folks use that wheat based litter...is it called "s'wheat"? I have the same issues you do with dusty litter and I am now using "Cat Attract" litter, which is a clumping litter. It's pretty pricey, though. It's supposed to be scented to encourage cats who have peeing issues to use their box instead of other places. My cat doesn't have that issue, but this is the least dusty clumping litter I've found.

I don't know about wood pellets, but maybe one of the above options might help you a bit.

junebug.......IMO, for a brand to claim a scented litter encourages cats to use their box is a great example of marketing strategy. If anything, cats are more repelled by scents, not to mention the respiratory problems they can cause in cats.
I've used the wheat product....it was just as dusty as others but my biggest problem with it were the weevils/larvae.

I recently switched from Fresh Step clay litter to Swheat. I like it so much better. Very little dust and it cleans up so easily.

I had trouble with urine and clay becoming cement-like. I don't have that problem with the Swheat.

I'm very happy with it and I think it's better to use products formulated for cats rather than for some other use. Just my opinion.