I have that same powder coating system, and it works just fine, but a couple of things to think about. The Harbor Freight powder gun works because it applies an electrical charge via the thin cord that clips to something metal that's touching the bullets. Stepping on the pedal sends the charge that attracts the powder and makes it stick to the bullet. So you have to figure out a way to charge all the bullets while spraying them with powder (when I forget to step on the charging pedal the powder doesn't stick to the sides of the bullets). You could just set them in a metal bowl or on a metal pan, and charge it while you spray, but EVERYTHING metal will be coated with powder, including the pan or bowl. So if you then bake them, you get a powder coated pan or bowl with all the powder coated bullets stuck to it. In order to avoid this you would have to lift them out/off with tweezers and set them on something else to bake them.
I found a solution over at castboolits.com that works but is more labor intensive. Two one by six boards screwed together (just small enough to fit into your oven, then pre-drill holes in a square grid 3/4 inch apart with a drill bit just smaller than your roofing nails. Then un-screw, place a piece of aluminum flashing between the boards with about a half inch sticking out of one end, and re-screw the boards together. Then pound roofing nails into each of the pre-drilled holes deep enough to penetrate the aluminum flashing. Now you can set the bullets on each nail and charge them all by connecting the clip to the aluminum flashing. The one I made ended up 11 by 7, so I can powder coat 77 bullets in one batch. Picture on post #12 from this thread:
Powder coating
I've done both this and shake and bake. Shake and bake is way faster, but the powder coat is thicker and more uneven. You can apply a really thin coat with the sprayer.
Also, I've found that for optimal results, the air compressor needs to be set at 20 psi or lower for it to spray a thin mist of powder. It also helps if you don't fill up the powder reservoir. Just 1/2 to 1 inch of powder in the bottom is plenty. Shaking the gun gently while spraying also helps keep the powder coming out.
Lastly, about the powders. The Harbor Freight stuff is ****, IMHO. Spend a little more for some good powder. I use Eastwood blue, green and red, but there are other good powders. Castboolits.com is a good place to research powder.
One final thing. When loading the powder coated bullets I was getting thin strips of lead/powder coat all over my press because my case mouth wasn't flared enough. The case rim was taking off little shavings of powder coat. With powder coat you need about 10 thousandths of an inch of case mouth flare to avoid that.
Hope this helps. Have fun, and let us know how it goes.