How to create shells for 75mm Pak 40

Might want to consider using some plastic rod and sanding the end to a point... Another alternative is some 1/72 scale aircraft rockets..

Plastic rods are a good idea.  But, why don't you take it a step further.  Figure out what diameter rods you need for the shells(or ask someone who works in a hobby shop).  Go to your local hobby shop and pick up some brass tubing in the appropriate diameter.  Cut them to the correct length and bend one end to a point.  This shouldn't be too dificult with a set of small pliers.  Now, you have painted shells.  I did this with a 1/35 Stuart and a Scout Car.