During the gun battle at Bacon's house, you see what are supposed to be bullets striking the inside walls. When the rounds hit, you see puffs of black smoke emanate from where the rounds strike. They also leave a pattern on the wall, spreading out from where the bullet has struck. However, the pattern spreads from the hole, enlarging towards the exterior wall. This would indicate that the round was fired from inside the house, and not from outside where the Klan is shooting from. This is due to the use of special effect "clay bullets", which disintegrate upon impact. In this case they were shot off camera from inside the house.
The 'bullets' that are hitting all sorts of items such as porcelain tiles, walls, etc., don't penetrate or damage anything. Even the television screen is hit twice, yet the screen is left undamaged. Also, there are some bullet marks that are very close to the corners of the walls that don't have any apparent entry point into the room. This is due to the special effect clay disintegrating bullets used to film the scene with the actors in the room.