Instructables
Picture of Add Weight to Chess Pieces
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The quickest way I've found. Consist in using fishing weights made of lead and zinc.

First put a little of hot glue to prevent a rattle. Add weight, interspersed with hot glue. Press to stick properly.

Finally, cover the bottom with felt fabric.

MODEL STAUNTON - MASSIVE POLYETHYLENE HIGH IMPACT
KING WITH 10.7 CM
APPROXIMATE WEIGHT 1.7 KG