Tie a knot in a tube sock about 3 inches from the toe.
Fill the sock with sand, rice or dry beans until it is filled to about 6 inches above the knot.
Pinch the middle of the sock so that the stuffing won't fall out, and carefully wrap it around the back of one of your ankles. Position the knot at the front of your ankle and wrap the other end around to meet it in the front. Cinch up the end if necessary until it is snug, yet comfortable. Hold these two ends together at the front of your ankle with one hand while using the other hand to knead the stuffing so that it is evenly distributed around your ankle.
Determine whether the sock needs more or less stuffing based on the way it feels and how easily it wraps around your ankle. Remove the sock from your ankle and make these adjustments, then wrap it around your ankle again as described in the previous step. Keep making these adjustments as necessary until you feel you have it just right.
Pinch the sock right where the open end meets the knot at the front of your ankle, then remove the sock from your ankle again. Slide a thick rubber band over the end of the sock and place it at this point. Twist the rubber band once to make a figure-8 shape. Pull the open loop of the rubber band over the end of the sock again and bring it down to this same pinch-point. Continue twisting the rubber band and pulling it over the end of the sock in this fashion until it is nice and tight.
Wrap the sock around your ankle again, and tie the toe to the other loose end at the front of your ankle. Make sure it is tied snugly, yet comfortably. Once it is tied, use scissors to cut off the excess length on the long end of the sock.
Repeat Steps 1 through 6 to make an ankle weight for the other ankle.