I've done it on a cheap eBay knob. The thing was WAY too light to begin with...So I took it apart (a screw held the two halves together) and filled the interior with small lead shot sinkers for fishing. It maybe doubled the weight, but I'm not gonna lie to you it didn't really make too much of a difference when it was finally attached to the shift lever. There simply isn't enough room inside the knob to fill it with enough lead to change the shift characteristics. But it will work!

You also run the risk of getting lead dust on your hands every day you drive. Small exposures can't hurt you, but after a year or two of having it on your hands you can run the risk of blood poisoning, cancer, blindness...or worse! Reproductive harm.

I ended up just buying a RAZO 340 gram shift knob with a LancerShop coupon (regular price is like $34). I'm not sure the material in it, but for it size the thing is HEAVY... now that made a serious difference. It's also a simple sphere and it fits the hand very well. But the outside is just polished and anodized metal... forget about driving on a hot day.