Maybe someone remembers I started a thread on this way back when on one of the other forums. Some ideas were floated including plasti-dip and plasti-dip spray. I have some experience with these materials. The spray is no good, the layer is too thin and weak. The liquid is better but it doesn't go on evenly and it's hard to fit the dive weight in the relatively thin container that the stuff comes in. Plus there's the problem of plugging the belt slot. If you start brushing it on it really goes on unevenly. The adhesion of plati-dip is also not the best so what keeps it on well is an encapsulating effect. Because of the slot and the relative thinness of the weight around one side of it, the encapsulating effect is lost.
I'm thinking that the best way is with Herculiner. I'm really amazed at this stuff, I use it on my speargun handles. It is brushed or sponged on, dries as thick as you can lay it on and has good adhesion. The textured finish may even add to the non slip effect which I'm looking for. I've only seen Herculiner in black color but I guess it could be worse. I'll do a couple of weights and post back.