Just for the record, if your HP's are blowing up, you can shorten the HP pin (as Ben demonstrates so well above), OR you can stick with the "standard" HP pin and just slow your loads down a bit. I have had good luck with .338 cast HPs (with "normal" HP cavities) at 1500-1600 fps muzzle velocity on mule deer and hogs -- with silver dollar sized exits (no obvious fragmentation, but I can't completely rule it out).
I agree with the advice about keeping things heavy for caliber, but keep it in the context of whatever sized game one is hunting. I will be hunting with a .30-30 Contender this weekend, loaded with a 170 grain 311041 HP. If I were hunting mule deer (150-200 lbs around here) I would be using a heavier 190 grain NOE HP, but I am going over to the Olympic Peninsula to hunt with a retired buddy of mine, and the coastal blacktails over there are lucky to 100 lbs on the hoof (and some of the tastiest venison I have ever tasted!), so the lighter bullet should be more than adequate.