Yeah, that should work.
Marcus Ranum has a post about using armor piercing .50 cal BMG to sanitize a disk, which is nearly as spectacular and I'd think somewhat less risky during the prep phase.
Now, I'm a simple man, with simple tastes. While I haven't set up a Box O Truth style test on the effect if different calibers on hard disks, initial testing suggests that 20 ga slugs are nifty for this.
And a note to Mr. Philip Sherman of Fayetteville, Arkansas: don't put thermite on your iPhone. There are simpler and less dangerous ways to keep your wife's photos from falling into the wrong hands, like not keeping them on your phone. Just sayin.