We used a relatively light blanket, and rice was the easiest and cheapest filler option for our needs. I made removable tubes filled with rice, then inserted them into channels in the blanket.
I'd avoid actual beans -- they can sprout with moisture-- then smell horrid.
The pellets from Joanns or Michaels can get spendy in the quantities you need for a whole blanket -- several bags, at $10 to $14 each. Of course, compared to commercial weighted blankets, that's not too bad. And you could use coupons.
RST