Trident makes a traditional square scuba weight mold that will cast weights from 1 to 4.5 pounds with wheel weights and 1-5 poinds with pure lead. Cost is only $15 and will make hundreds of weights.
I have cast lead weights for years - but also cast bullets where precision is a much more important issue. In that regard soem of the information above is misleading.
With cast bullets, if you start with wheel weights you need to add about 1.5% tin to get better fill in the mold and to ensure the proper bullet diameter. There is also no need to flux the lead to ensure an even distribution of the alloy. Wheel weights already have a bunch of antimony in them, so lack of hardness is also not a concern.
Since precision diameter and perfectly filled mold cavities are also not an issue when casting scuba weights, you can just melt the lead down in an old cast iron skillet, skim off the steel clips, rust, etc, and pour it in the mold. Preheating the aluminim trident mold slightly will keep the lead liquid until the whole mold is filled and gives a slightly better looking weight, but beyond that there is no need to get fancy.
Just pour the lead in, let it cool until the top surface is hard (under a minute in a cold mold, maybe 2-3 minutes in a hot mold) turn it over tap the mold on a hard surface and the weight will fall out. If you let it cool too long, the weight will still come out but it will take a few harder taps to get it out. If you don't let it cool enough, the weight will crack or break - but you just melt it again and start over. After making a half dozen, you will be an expert.
As noted above, pure lead is heavier than the lead/tin/antimony alloy used in wheel weights, so the weight is slightly heavier, but much softer. The trident mold has lines in it and you get approximately one pound for each line you fill to.
Safety wise, molten lead is very hot, so use due care to avoid spills and splashes. Molten Lead is also very hot - 650-700 degrees, so make sure the pan you melt it in and the mold you pour it in are dry. Molten lead will instnatly vaporize water and the resulting steam can blow lead out at you. Use suitable gloves and safety glasses.
Also do not use any pan you ever plan to use again to cook out of as lead is toxic if ingested. Also be sure to melt lead in a well ventilated area. Melting lead on a small camp stove on the deck or in the back yard works fine. Goes without saying to keep the kids and pets away.
In terms of toxicity the risk with cast lead is up front if you do it on the kitchen stove or in a non ventilated area and the risks are pretty obvious.
Lead shot is more of a threat but is les obvious but just as toxic but over a longer period of time. You will get lots of dust and oxidation on the lead shot that will flake off as the shot pellets move against each other and over time you will have lead dust and oxide on your weighbelt, your scuba equipment, in your car, on your hands etc, and you will almost certainly ingest some of it. Hard lead weights are much safer and more environmentally freindly over the long term.
Coatings used on premium lead shot include copper plating, which is fairly durable and is designed to reduce deformation of the shot when it is fired. But it also oxidizes and overtime, as it is a thin coating, will get worn off my the movement of shot pellets against each other.