Low-Tech Mag also recently advocated for hot water bottles: https://solar.lowtechmagazine.com/2022/01/the-revenge-of-the...

I acquired and used hot water bottles for the first time in my life last winter and I highly recommend giving them a shot, especially when seated outdoors.

In terms of heat storage for a given volume, water seems very hard to beat: https://en.wikipedia.org/wiki/Table_of_specific_heat_capacit...

It seems likely that for containers of equal size, water will stay warmer longer than dry rice or any other common/inexpensive material.

EDIT: I occasionally hear of engineers working on materials that work better than water, but they don't seem to be catching on so far, perhaps because water works really well and is comparatively cheap: https://www.extremetech.com/extreme/130523-zeolite-thermal-s...