Houdini told about performing the bullet catching trick to the Club of Odd Volumes in Boston in 1922. It's on page 77 of Tao of Houdini.
"I had a rather unique experience performing the bullet-catching feat. It was customary for me to present this with a large horsepistol, allowing the committee to load it with a marked bullet, so that I never really touched the gun. There was a thick plank on the table leaning against the back wall. The committee were given the option of firing at the board, which would be smashed to splinters, or at me. However I exacted the promise that, once having announced their decision, they would not, on their word of honor, change their minds. For the infinitesimal fraction of a second there would be an awe-inspiring and breathless silence after the resounding crash of the bullet had made havoc of the plank, which brought home to the committee the seriousness of their decision, had I been chosen as target. The effect of the illusion showed the miraculous appearance of the bullet between my teeth, after having smashed the plate which I held in my hand. Never once, in all my experience, has the committee failed to fire at the board first."