If you want to make soft weights there are some fancy options. one can buy weight bags now right from scubatoys (made by XS) for something like $2-$3 each and your set. Alternatively if you have some sewing skills or know someone who does (I go to a shoe shop) you can get fabric like cordura or mesh from places like Seattle Fabrics and sew up some nice pouches your self.
We had the vacuum pack kind for a while but that ended in tragedy a few times. Some have success but I abuse my stuff so its just not enough.
My most recent work is with 2" tubular webbing, its at the sewing shop now actually, I will keep you all posted on the findings with this. your limited though because webbing doesn't hold alot of shot so its best for ankle weights or those times when you only need 2-3lbs per weight. they also dont fit in most "weight" pockets.
I just got Lead from cabelas (went to the store) and paid $31 for 25lbs for shot no matter the size. its got graphite powder on it so the lead needs to be washed (have not attempted to try yet) otherwise black sludge runs out for the first 20 dives and stains everything it touches.
Ebay is another source for used, shipping will kill you though.
I dont like the molds for the hard weights, I buy them if I intend to actually wear the hard lead because they now come vinyl coated and with nice radius edges on all sides. We have a mold and one of the guys make hard weights for various other uses.
If your going to melt lead go to a yard sale (or 10) and buy all the tools you could ever need. do it outside away from houses and structures. melting old wheel weights will get you some harder weights in the end, wheel weights contain stuff besides lead. once all the wheel weights and scrap lead is melted you need only skim off the metal clips and ugly crap floating on the surface. use something like a candle or bee's was as a flux after you skim stuff off, this will flame up!!! then poor into molds, notice I said molds. its going to be easier if you have several things to cast at once. if your not going to make all diving lead now poor the lead left overs into muffin pans for later.
using old cast iron pans of the right size will yield round weights that fit in tank boots if thats something you think you need (you dont but you might think you do, you can always turn them into something else later).
You can add some hardware store snaps to the castings to make clip on weights too. of fashion weights that are flat for bolting onto a back plate or you can use your backplate as a mold to make V/P weights too.
Just remember these things:
all the tools are available at yard sales
and do your smelting outside.
