brother let's think of this mathematically
steel has a specific gravity of ~7.9, making a quanity 7.9 times as dense as water. every cubic centimeter of steel weighs about 7.9g, and these are the weights you are going to see on the market (beside bulky sand). 1lb of steel occupies ~57cubic centimeters.
if you want something commerically available but denser than steel, bismuth is used as fishing weight and has a specific gravity of 11. 1lb costs about 15$US and will occupy ~41cubic centimeters.
Osmium has a specific gravity of 22.8 and you can buy 1g of it for 43$US on Amazon. That's about as dense as you can get.
I don't know your specific needs but you could probably get some weights milled yourself, but you are really gonna get what you pay for materials wise because anything over about a kilo is gonna be bulky.