Wadding is a material used to keep gas behind the projectile in older, muzzleloading guns. It was typically a type of cloth or paper wrapped around the traditional lead ball. This is helpful since it keeps more gas in the barrel, making the projectile faster upon emerging from the barrel.
Shotgun ammunition also use wads between the powder and shot charges. Typically, the wad contains the shot charge until it leaves the muzzle at which time the "fingers" of the wad open out and it falls away.