I had this same dilemma and mountainmammo (from this board) sent me the directions to making one of these. I owe her a debt of gratitude because you wouldn't believe how much these cost!!!
I've made one. There is a weight calculation you have to do. I'm not at home where the pattern is, so please do NOT assume this calculation is correct but it will be something like 10% of the child's weight + 1 lb. type of thing.
I sewed two sheets together into a "sleeve" (3 sides sewn one side open). Then I sewed channels. Then we figured out the weight needed and divided that by the number of sleeves. Then we took 1/10th of the pellets and dropped them down each sleeve. Then we sewed across the blanket (so you have like "pillows" of pellets) continued to the top.
Once I had that done, I made a sort of Duvet Cover for it out of fabric that she liked. Her mom has a couple of covers now. She can wash those as she wants to and she washes the "weighted blanket part" less often.
I got my pellets on EBAY. I believe I found it under either dolls or teddy bear making materials. I had to buy a decent quantity.
PS - when you have to "add weight" to the quilt, I've done that too. We choose random "pillows" to slice and add pellets to. Then I sewed (appliqued?) a "bandaid" on the cut. When we had to add more weight a few months later we just picked other "pillows" to slice and add pellets to. I figure when I have added to all of the pillows, I'll just make another weighted blanket!
I wish you the best of luck - and a hearty thank you to mountainmammo who got me through my first one.