Subedai,
Have you ever used any of the modern expanding bullets that penetrate much deeper than 1959 .458 Winchester soft-points? I realize such bullets as Nosler Partitions, Barnes Triple-Shock X-Bullets and several others may not be available to you, but they penetrate far deeper, and do indeed make "American" cartridges entirely suitable for nilgai-sized animals, as well as others, including the 9.3x62. In fact I've shot essentially lengthwise through not only nilgai but elk (about the same size as nilgai) and Alaskan moose (much larger than nilgai) with cartridges including the .270 Winchester, .30-06, various .300 magnums, the .338 Winchester Magnum and 9.3x62.
From your posts it appears that you're using simple bullets with relatively thin jackets and lead cores, but modern bullets make far more difference in terminal performance than caliber or even bullet weight these days.
