Ditto on getting your lead shot from a hunting store -- better yet, a gun shop that carries reloading supplies. There are also several hunting equipment catalogs that sell lead shot. Lead shot is a bit harder to find than it used to be, since the federal hunting laws now require steel shot for hunting water fowl (birds were ingesting lead shot lying on the bottoms of ponds and getting poisoned).
Smaller shot usually works better for dampening -- easier to pour, more surface area, etc. I use either #7 or #9 shot in speaker stands, etc.