Hi Steve,
Depending on how often and where you intend to dive, buying weights may be something you may not want to do, esp at first. If you are traveling by air, I can't imagine taking weights along...my dive bag weights enough as it is. You can rent weights for a few bucks almost anywhere. A chunk of lead is a chunk of lead so renting weights is a lot different than renting a wetsuit or reg. A lot of travel destinations include weights in the price of the dive anyway. If you want one of the nicer pouch type belts, which I do like a lot better than the old standard type, just buy the belt and use the rented weights.
If you still want to get weights, see the other threads on what others have done. I just go mine the local gun club pistol berm, pick out some nice smooth slugs and put them in nylon bags my wife makes. I have maybe $.50 in the bag and nothing in the lead.