Just a consideration for after the shot is made/bought/snatched out of the air whilst flying past your head or spit out of whatever you happen to be eating at our family reunion...
Be sure that whatever you contain the shot in is very well drained. I made my own lead-shot weights using leftovers from reloading, and for lack of a better permanent setup I used sturdy ziplock bags and evacuated the air from them, then put them in velcroed cloth pouches and into the weight pockets on my BCD. I did this because I couldn't find any mesh fabric at the local sewing shops that was strong enough yet didn't have holes too large for the shot.
Well, water being what it is, it soon got into the ziplock bags and started rapidly oxidizing the lead, making a milky-white liquid that leaked and caked in fabric and onto whatever else it touched. Normally this isn't an issue with lead - like aluminum it will oxidize, but only the first few layers of atoms, then the process stops without making the item unusable. But lead shot has lots and lots of surface area, and there might have been something in the lake water that attacked it more viciously than normal. Anyway, I didn't have a good way to dry the weights without having to dump the shot, hand rinse it all, then re-weigh it and hope I didn't lose any. The prospect of having skin contact with that much mobilized lead didn't excite me very much, so I gave up my pet project and bought the professionally made soft weights from the LDS.
Lesson learned: be sure that the shot can dry fairly quickly and thoroughly. Also, the mesh allows any of the milky oxidized liquid that does form to immediately be washed out while you're underwater, which come to think of it, might not be a good thing for the little fishes who faithfully follow me everywhere (they have been trained to expect hot dogs from divers).