A lot of times, I get lead from a friend who has an automotive service station and he gives me wheel weights. They are made of lead, but they are an alloy. You really have to heat them up and make sure you spoon out the scum off the top. It's can be a pain, but he gives them to me for free and the extra work for free material works for me. Sometimes you'll hear that type of lead as being hard lead where as a pure lead would be termed as soft lead.
I've also had good luck with lead flashing material you can get at like a Home Depot in the roofing section.
If you have any old lead bullet weights or egg sinkers, you may as well use them up. The price of lead has gotten a little ridicules, so I've been resorting to these, especially when you go through a boatload of jigs like I tend to.
JMHO