Weights are used in scuba diving to decrease buoyancy and allow divers to comfortably explore lower depths. Although commercial weights are readily available, making your own dive weights isn't difficult. Homemade dive weights are commonly made of bags filled with a heavy material. Although you can use sand, lead shot is more efficient because it provides more weight per volume.
Although any bag material can work for dive weight bags, synthetic materials will often last longer. The exact bag material you use will depend on the type of weight. If you are using larger lead shot, a fine nylon mesh can make a good, durable bag material. However, if you are using sand, a durable ballistic nylon may make a better bag. Whatever you choose as weight bag material, use nylon strapping to make straps that work with any existing weight vests or belts.
A number of different materials can work well in homemade dive weight bags. Filling your weight bags with sand is cheap and easy. In some cases, small rocks can also make good dive weights. An advantage to using existing natural material like sand or rocks is that you can adjust your buoyancy underwater by either removing or adding weights. If you plan on doing this, you will likely need to make your bags with a zipper or other fastener.
Another common way to make weight bags is to fill the bags with lead shot. Because of lead's density, it allows deeper dives with the same volume of dive weight bags.
Regardless of the type of weights used, buoyancy vests can be a good way to control buoyancy without dumping sand or stone weights.
You can make a simple dive weight vest out of a common fishing or photographer's vest. Any vest with many pockets can work. Depending on how much buoyancy you need, you can add rocks directly to the pockets or add dive weight bags filled with sand or lead shot. If you do use lead shot filled bags, you may want to dive with a bag on a rope to allow you to recover your dive weights if you need to shed weight or accidentally lose one.