We did the same thing in order to adjust our bouyancy.........
We originally started off experimenting with some home made weight pockets that attached to the cam bands. Think of a box with a full-length velcro closure flap on it. Seemed to work OK, but we had trouble adjusting the weight up and down the cylinder.
I bought a couple of "short" weight belt setups along with some of those "anti-slip" pads that you see on the regular can bands, and a couple of weight belt buckles. We put a weight on each side of the cylinder, and place it around the cylinder. By going this way, we can adjust the weight up and down, and they don't collapse the BCD when changing cylinders. The only tricky part is getting them tight enough, so they don't slip.
Otherwise, they seem to work great for us.