I'd do it the other way around, make sure it was perfectly zeroed for the longer range load, thats the one that really matters, you will likely find that the short range load will be close but off a little, which wont matter at closer ranges.
I do exactly this with the rifle that i hunt the most with, my M7 7Saum. I run a 162 Amax load for longer shots (most my shots) which is single feed. The scope is zeroed for these, then i run a 150gr SGK mag fit load for walking in or stalking etc, any shot inside 200 yards i took with that load is going to hit close enough to the point of aim that it will do the job.
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