I use lead bird shot mixed with Milliput epoxy putty for the difficult jobs where there is limited space for weight. If doing something like an airliner, I use whatever I have lying around, like nuts/bolts, strip lead weights, etc. I used pennies once, and it worked fine.
I have noticed that mixing CA glue with bird shot causes some slight expansion when the CA cures, so I avoid doing that. If I need to secure loose weights, I use epoxy glue. I have also copied Fine Molds' silly nut and bolt set in a bulkhead attached to a plate method, and it worked great!
When I was small, I used dead batteries secured with plasticine, but found out the hard way that if the battery leaked, there would be, um, trouble. Don't try this at home, kids.