Fishing weights are cheap and convenient and come in a dizzying assortment of sizes and shapes. However, not good for an environment where toxicity is a concern -- or did they stop making them out if lead?
If you have a lot of time, browsing the metals category on Ebay can be useful. I've found things like thick brass rings for a very low price. They make pretty good nose cone weights on larger model rockets. They were clearly scrap from some project.
For that matter you might search on "ball mill media" or "Ball mill balls" or "ball mill weights" or some such.