I've never used either in brooders but I've always wanted to try hemp actually. If I had no pellets, that's what I'd opt for. It's softer on their feet for one thing and more absorbative than shavings would be. Much more expensive though I'm sure!
I was going to suggest waiting until they were at least a week old, then saw that's what yours are. That's what I do with horse bedding pellets. Then I put out grit in case they eat any of it, which of course they will. :)