When I built my “Marie E” 7 years ago I considered using some of the harder stuff like mentioned in the other posts, but was strongly advised not to because you need to get it out if you need to dismantle the loco.
I used Plaster of Paris. Cheap, easy to buy, softish, should be easy to remove. It does tend to absorb water vapour, and you could ge a bit of rust, but in seven years and nearly 1000 kms of loco travel, there are no smoke box leaks.
It’s what I’ll be using in my next loco too.
AND, DO leave the sealing till the last minute. When you have tested everything, done the painting and you are ready to go on the track, that’s the time.