I tried those pellets a little while back and had the exact same problem. Not only was it costly to purchase the pellets, it was also stinky and the rats/mice HATED it. I have stuck to aspen from then on. It might be a little dusty, but it is much better at odor control, the rats can manipulate it and make it comfortable for them and it's not that much more expensive than pine.

Whatever you do, DON'T put your rodents on pine or cedar. Both of those have Phenols that cause respiratory problems in small animals that could possibly lead to death in severe cases. So there you have it....my two cents worth.