Actually, that was about the only problem the South didn't have.
The South performed prodigies of instant industrialization and never ran out of ammunition, though the artillery ammo wasn't always terribly reliable or accurate.
The effort was led by Josiah Gorgas, born in PA, one of the most interesting men of the war. Had the rest of the CSA's war effort been as well organized, it would have won its war.
http://en.wikipedia.org/wiki/Josiah_Gorgas
More specifically artillery fuses were not as good in the south, and probably was a major reason for the ANV's defeat at Gettysburg.
Josiah Gorgas, got to look him up, makes me feel kind of proud he is from PA.