IF you have access to the inside of the weapon I would suggest a small dot of either super glue or hot glue to hold the weight in place until whatever long term glue you wish to use sets. Liquid nails works great. You will want something with a lot of gripping power and something that won't release with heat. Super glue works alright for a lot of things, but its a brittle glue and will break loose eventually.
One of the easiest and cheapest weights I could suggest came from boy scouts pine wood derby racing... Use pennies, glue will easily stick to them, 40 or 50 will add a lot of weight and it cost you only 50 cents. Not to mention you can stack them to add reinforcement to certain areas.
Wood will add reinforcement if that is something else you are taking into consideration.
I wouldn't add more weight than is necessary to balance the weapon. Odds are if you are wearing your costume someplace, you will have to carry this weapon around for at least 4 or 5 hours...