Many Krag shooters have their own prefered loads that they have found to work best in their respective Krags.  Me personally, I sometimes load a 180 grain soft point spitzer from Hornady, but lately, I have started loading a Hornady 165 grain boattail soft point and 38.6 grains of IMR 4064 with amazing results.  The trick is to try several different bullets and loads to find what you like best.  I agree about hot loads... stay away from them!  Hornady has a complete reloading guide book which offers many load options for each different bullet weight and powder.  Good to have even if your not using Hornady bullets.

A word of advice: in both of my 1898s, I must use bullets with a crimping ring.  An un-crimped bullet will push back into the cartridge case when trying to chamber from the Krag magazine.  I know that not all Krags will do this, but both of mine do.  Round nose bullets do not have this problem, but pointed (180 or 165 grain) do.  Lee has a factory crimper die... but use with caution.  Keep the crimp light so you don't damage the case neck.

Enjoy shooting your Krag!