The key to drilling the hole is don’t try to drill straight through the lead. Drill in 1/8 to 1/4 inch and pull the bit out to clean out the hole. Keep doing that every 1/4 inch or so. The problem is the bit will grab and pull in but the lead is too soft to keep the hole cleaned out.
I had a small glass baking dish I used. The weights were about 4x4 inches, the 5 pounders were about an inch thick, 10 were a little under 2 inches thick.
I liked the glass dish because the lead came out easy. As soon as it cooled it dumped right out. I have used soup cans and old beer cans but the lead sticks in the can more than the glass. Then I dropped the glass dish and broke it!