First off, let me say that I have seen very few instances where using a high-density ballast material (such as lead) would really make a huge difference or where some other material (such as very tightly packed feathers?) could not be subsituted.
Clay is readily available and fairly cheap and even comes in cute colors (if you stock up at the back-to-school sales)
Now, as to you lead addicts:
Since the green commie pinko (?!?!) tree-hugging do-gooders have taken away our ready sources of lead (shotgun shell reloading supplies, fishing weights, etc) and substituted steel in many cases, it is getting more difficult to find real honest lead.
Some possible alternate sources: check at your local tire shop to see if they will give up any of their used wheel weights---you can use them intact or break them up or even melt them down and re-cast them into your own usable sizes. (If you smelt your own lead, PLEASE take all proper precautions.)
You can also use .177 air-gun pellets, which are still made of lead. I bought a gob of tins of cheaply-make Chinese pellets that do not work worth a crud in my rifles but they hammer down into nice little bits that pack densely.
Now I know all about the ounce-of-lead-vs-ounce-of-feathers thing, but I also know that the way our silly society is going, it causes an entirely different reaction out there among the sheeple when they hear that a model rocket impacted on something with a nose ballast made of clay, as opposed to a nose ballast made of lead. And like it or not, swarms of angry telephone calls can indeed cause our favorite parks and school-yards to be closed to model rocket launching. So think twice before you claim that you just have to have lead . . .