I belong to a Project Linus chapter, and we've made some weighted blankets for a daycare center that treats traumatized kids. We had some members make the full-fledged blankets, one with sheets inserted and one with pellets, both of which were not cheap.
I made them some simpler ones for the littler kids. They asked for long tubes that could be draped over the shoulders or around the neck like a scarf. I went to the feed store and got dried peas (a 10 lb. bag was under $5). I made little bean bags, so to speak, and then stitched them into a long strip, sewing between bags so they wouldn't all lump up. Then I made a flannel cover that could be removed and washed.
I know some people feel that rice or other organic materials can lead to mold, but this center didn't care. They said rice was fine, too. It certainly made the projects cheaper. I think I made about six of them. They said it helped the kids calm down at nap time.