Factory loads should be just fine. Just don't exceed maximum loads if you're reloading for it. I would keep loads well down, say, about halfway between the "starting" load and the "maximum" load.
The .30-40 Krag is one of those cartridges that seems to kill far in excess of its paper ballistics. I would rather use it on deer, elk, or even bear, than a .308.
Violence is an ugly thing, but not the ugliest of things. The decayed and degraded state of moral and valorous feeling which believes that nothing is worth violence is much worse. Those who have nothing for which they are willing to fight; nothing they care about more than their own personal safety; are miserable creatures who have no chance of being free, unless made and kept so by the exertions of those better than themselves. Gary L. Griffiths, Chief Instructor, Advanced Force Tactics, Inc. (Paraphrasing John Stuart Mill)