Back in the 80s I got a presentation from Sea Pearls on their weights by the owner that went something like this.
"We have three different types of diving weights ... lead, coated lead and shot.
If I take this five pound lead weight and toss it at your right foot, you will break a toe and your shoe will get a cut in the leather.
If I take this coated five pound weight and toss it at your left foot, you will still break a toe but your shoe leather will be unmarked."
He then picked up the five pound shot bag and tossed it at my foot without saying a thing and it really startled me ... but made the point. I felt nothing but the weight.
THAT was a clever presentation and I have remembered it for over 30 years!
All that aside, coated or soft weight will be the best for your pool as far as minimizing marking. Molded lead is the cheapest but you really don't want to just mold your own ... the fumes are toxic and the molds that are available today are pretty ugly and leave sharp edges.
While I love the comfort of shot belts, I will not use shot in the pool. The surface of the lead slowly corrodes and leaves a little milky "guck" behind every time and bringing that into the pool just can't be good.
I second SeaPearls.