The weight (not the volume) difference in lead vs. steal needed for the weights will be quite minimal (around 5%). Although the volume of the steel weight will be indeed about 1.3-1.5 times bigger than at lead (depending on the type of the steel), the added buoyancy due to the 40% higher volume will be only about 5% (because water replaced by the extra volume has the density ~8 times lower than steel >>> 40% / 8 = 5%).
However, although you do not need significantly heavier weights when using steel, it is still inconvenient because of the increased volume. I remember I had similar problem about 20 years ago - there were no dive shops in our country in that time, so I simply made a plaster mold and casted a series of lead weights myself. It was easy and quite quick. In fact I still use them today on one of my belts and I am pretty proud of them - they were quite nicely designed
I think I'll have to make a photo and post it here. It is very easy to find the needed lead - old plumbing pipes, car accumulators, etc. And the melting of lead is quite easy and quick - you can do it over a gas burner in an old pan.
Even simpler - if you are too lazy to to mess with the foundry, simply get lead shot and fill small pockets attached on a belt with it.
And if you are in a lucky zone of influence of the US military spreading their democracy, then you can do even much smaller weights. The democracy is always being spread together with (or maybe even attached to) depleted uranium (DU). So if you are in the Balkan, in Iraq, in USA itself, or in some of other such locations (see below), you can make your weights almost just the half the size of lead ones.
Uranium has the density 19 times higher than water. And according to the Pentagon and US authorities, you do not need to be afraid of the radioactivity or poisoning - they claim it is harmless. Well, the increased number of cancers and newborn malformations in concerned countries is shooting tenfolds and more, but according to the US authorities, it has no relation, so you can be pretty unconcerned. Although DU is not popular in mass media, you can find a lot of information about it all over Internet, including many reliable sources (like WHO, ACENTER, ...). For example
here,
here,
here,
here, [ame="http://en.wikipedia.org/wiki/Depleted_uranium"]here[/ame],... or simply
here.
Hmm, if you are one of those who do not believe governments, then you may try using
tungsten instead - it is even little bit more dense than uranium (19.3 vs 19.0) and it is not radioactive. It is pretty difficult to machine though, so you may have hard time getting the right shape. And as most other heavy metals (including lead), it is poisonous, so it should be handled carefully - vapors, oxides, particles, dust can be fatally dangerous or can cause irreversible damage to the organism!