Penn & Teller's Bullet Catch; How It's Done (maybe)

I recall that Penn Jillett once said somewhere that nobody has ever figured out how their magic bullet catch is done. Well, for the hell of it, I'm going to try to explain it keeping my hypothesis as simple as possible.

You will first need to watch their trick here before you read my explanation:

I've read a few potential explanations online, and I can't say I was too impressed. There are quite a lot which involved expert backstage forgers or wax bullets or simultaneous guns being fired backstage. I find these things all improbable for several reasons, so I'd like to try to avoid this sort of thing. I want to make my explanation as simple as possible (while still explaining all the facts). So here is what I came up with:

When the guns are loaded, a special tool inside the barrel detaches the bullet from the casing. When Penn and Teller lift the guns vertically in the air (or perhaps while they lock the barrel into place), the bullet drops into their hand - leaving the original casing still inside the gun - and they discretely conceal it.

At this point they put the guns down, walk over to the back of the stage and slip the bullets to an assistant (or assistants) backstage through a hole of some sort. The assistant(s) quickly indents the bullets with a tool (to give it that "just fired" look) and gives it back to the opposite performers.

This is all done quickly, so that the bullets can be retrieved while Penn & Teller are still putting on their safety gear, so they at some point they can discretely slip the bullet in their mouth while adjusting their goggles or putting on their vests.

After the guns are fired, they simply spit out the bullets to show that they have the other's bullet and open the casings to see