I once purchased lead weights online, and they came packed tessellated in a flat rate box. Shipper definitely got their money’s worth.
They make rubber adhesive strips with four or five wee bits of tungsten in them, but they are too expensive for general use, nor do they offer the precision you get from a continuous length of lead tape. They are also too thick to install on the handle pallet under the grip, which is no problem with lead tape since it's about 0.3 mm thick (rough guess, I haven't actually mic'ed it).