Those Premiers (I am most especially speaking of .20 Premiers) are great pellets, especially when you need LOTS of penetration and/or deep penetration past 60 yards. If this is what you're looking for, also check out the Beeman Kodiak, the JBS dome and the Benjamin/Sheridan pellets. These are all excellent dome for long-range shooting and you can be assured that one of this group (to include your Premiers of course) will shoot better than the others.
You mentioned 30-35 yards. Actually, that's where most hunting opportunities take place. I would suggest that you also check out three other pellets. The Beeman Crow Magnum in .20 has a well earned reputation for expansion even in stock Sheridans, let alone what you now have. They are extremely deadly and in shoot pretty good in alot of rifles,especially for 30-40 yard ranges. The next pellet I'd look into is the Predator. These ARE expensive but they're said to have match-like accuracy and from my initial tests on Ivory soap bars using a stock Sheridan at 3 & 8 pumps (3 pumps simulates a stock Sheridan's ballistics downrange whereas 8 pumps is more akin to my RX-1 downrange), they were somewhat more explosive than even the Crow Mags (something I never thought I'd see). These should be nothing short of awesome in the field! Finally, I would suggest the FTS pellet. This little 11.5 gr. dome is, IMHO, a bit of a sleeper. It is to my way of thinking a .20 Premier-lite. What do I mean by that? The .177 Premier-lite is relatively light in weight (7.9gr.) but with a high (for the weight of the pellet) ballistic coefficient. Some pellets have high BC's but are very heavy in weight. This hurts their muzzle velocity which in turn also hurts their trajectory. Other pellets are light with a high muzzle velocity but with a low BC, they fizzle out downrange. Surprisingly, there are pellets (silver arrows fall into this category) that are very high in weight but low in BC. This is the worst possible scenario. Lastly, there are some (.177 Crosman Premier-lite, .25 RWS dome) that are both light AND carry a relatively high BC. The .20 FTS pellet is in this group. (BTW, .22, while having some great pellets in it's lineup, still doesn't have this particular niche pellet). The FTS in .20 is a better performer on squirrels and rabbits than the Premier .20 (and I love the Premier .20 just so that's clear). It shoots shoestring flat, is extremely accurate in alot of guns, has more than enough penetration and carries with it a bigger wound channel. After 50 yards, this advantage dwindles. Past 65 yards, the Premier takes over in deadliness due to it's retained energy, momentum and the extra penetration that comes along with it.
If you're doing most of your hunting under 40 yards, I'd check out the pellets from that second group I mentioned very closely. Choosing the best pellet for best terminal performance is extremely important if you want all that your gun is able to provide. Sometimes it's that extra terminal performance which can be the difference between putting the critter in the pot or having it die in the field.
Yes, I KNOW accuracy is important too but this post assumes SUFFICIENT accuracy for the job at hand. That always has to be checked out firsthand at the range. Assuming sufficient accuracy, I want a pellet that gives me the BEST chance of bringing game home. Some pellets make better use my gun's power (terminally speaking) & allow me more flexibility as to what shot placement I can take. Can I take a lung shot squirrel OR do I have to take brain shots even with my extra powerful rifle (some pellets in .20 are much, much more efficient than others for this shot placement). If I do take a lung shot, do I have to hit dead center through both lungs OR does my pellet create ENOUGH tissue/organ damage to cleanly & quickly kill even a squirrel with one lung being hit (some pellets DO allow this while most don't). If an airgun hunter takes the time to get really clear about his hunting needs, he sometimes CAN have his cake and eat it too. Hunting UNDER 40 yards is one of those times. Hunting crows, pigeons and ground squirrels in the fields where the shots can easily run way over 50 yards does change things. There you need more penetration so that a pellet that enters on a quartering away shot still has enough OOMPH by the time it reaches the animal's lungs. The pellet needs to be IMHO a minimum of .20 for best results because at those further ranges, you won't be able to count on any pellet expanding with any consistency.
Good luck with your Steroid Sheridan and keep us posted on your experiences with it! --- Mike