Used to be that you could get scrap lead wheel balancing weights for free from any tire shop. Now, most sell it to recyclers but you can always ASK. The weights are lead with "iron" clips on them, the clips will float up and can be skimmed off if you are melting it down. Melting & casting lead is easy, a propane or map torch and a stainless saucepan are all you need--but you want to be upstream of the pot in a well ventilated area, lead fumes are not good.
Or you can even buy lead shot on Amazon if there's no hunting shop near you. Oddly enough, including shipping, well cheaper than "diving" shot bags. You don't need mesh, you can use any heavy nylon or Cordura cloth from a remnant store, or a thrift store winter jacket. (Sleeves make good pouches, cut to length as needed.)