Heilum tanks
That's a small effect. The primary effect is that the lower density reduces the aerodynamic damping on your vocal cords, changing the resonance frequency of the cords themselves.Helium raises the pitch of your voice because the lower density increases the speed of sound in your throat which in turn changes the resonance frequence of your pipes.
Helium intended for balloons usually has a certain percentage of oxygen mixed in, so that you can't suffocate by breathing it. Bulk helium, especially that which is intended as a welding shield gas, does not have any oxygen and CAN cause suffocation, especially if the person breathing it happens to pass out and fall face down. If that person falls face up or in some other position which would allow the helium to rise out of the lungs, suffocation is unlikely.
Any case of damage to the vocal cords was due to inhaling straight from the bottle, while the gas is cold due to expansion, thus causing injury by method of instant frostbite.
But back to the original poster's question:
Yes, you can use helium in a spudgun, and if you're trying to go supersonic, it's almost a requirement. However, if you're just using it for everyday shooting, the high price is probably not worth the small performance gain.