Many folks have a thing about using lead in any form in model rocketry. Personally I do not follow that failing.
There are a couple things about using Lead Shot in epoxy that should be understood.
First: If using a plastic nose cone the INTERIOR of the plastic nosecone needs to be roughed up with a file or gouge to get the epoxy some peaks and valleys to grab as it cures.
Second: If the cone is large enough with a heavy thick wall, one can also drill and countersink small #1 or #2 size screws for the epoxy to grab around but the screw mass of these screws has to be included in your Nose Weight calculation.
Third: It is almost always suggested that the nose weight lead shot or what have you are added to the Epoxy mixed just before flowing into the NC cavity ensuring plenty of epoxy surface to flow into the roughened NC.
If using epoxy/lead shot in balsa or basswood Nosecones no additional roughen is needed as the epoxy will soak into the wood just fine.
No. 9 lead shot is smaller in diameter then any fly tying bead you'll find. They are .080" diameter with a individual mass of .046g ea. 22 = 1.0g +.
If working with larger rockets there are all kinds of lead weights, Sheets and other shapes that can easily be had. As others have mentioned Lead wheel weights and sometime discarded Elevator Weights can be had for almost nothing if we ask nicely
As with most things there are some safety precautions to be observed. Most important either ware glove while handling lead or wash your hands with soap after. If sanding or grinding Lead sheet, plates or rounds wear a particle mask while doing so.
Once our nose weight has been encapsulated in epoxy the material is really no longer an environmental concern.
As for using other materials for nose weight.... It's that same old addage! would you rather be hit with a pound of feathers or a pound of lead. Answer: It makes not difference at all, a pound of lead, sand or feathers it's still a pound. The only difference is the volumn involved.