eastbank's advice is good, and there is a reason for it.
I'd bet that a factory loading in .38-40 is not much over a "cowboy" load, if any. The bullet won't expand; it merely punches a hole. If the hit is off by an inch or two from "perfection", the animal can indeed run a long way if spooked.
And that's why the old-timers passed along the idea of sitting and waiting for a while for an animal to bleed out.
Modern cartridges are far more destructive of tissue, so there is much less need for this sit-and-wait style of game retrieval.
You're from BATFE? Come right in! I use all your fine products!