I have trained with steel up close but I always used frangible ammunition, If I don't have the $$ for frangible, I use paper targets. The advantage of shooting steel IMO is that you know when you miss and can correct immediately. With paper you have to count holes after your run, but even then if you generally know when you may have missed.
*added* I don't want this to be misinterpreted, frangible training ammo is generally cheaper than regular xm193, If i did not have the money for it, I used my reloads with cheap pulled bullets and fired at paper targets.
a bullet leaves an impact mark on the steel target (frangible also), a quick cover up with flat black spray paint gives you a new target
Cowboy action shooters do it at ridiculously close distances all the time,,,
I only briefly tried Cowboy Action, all the up close shooting I did was at a paper target.