Solder perhaps?
Chess Piece Filler Material
If you don't want to refill them with lead (I did with mine) and assuming that osmium and iridium are hard to come by at your local hardware store, then I guess you could use steel ball bearings, which I think have about 70% of the density of lead.
While solder is a possibility, most solders are now lead-free and therefore (apart from being less dense) might not have the flexibility needed to avoid later cracks in your (presumably) wooden pieces. This is assuming that you pour molten solder into the cavities but you could of course make solder pellets and insert them instead, along with a suitable filler to stop them rattling about.
Diamond wouldn't be of much use weight-wise, as it has less than a third of the density of lead, but having diamonds inside your chess pieces would be impressive!
Hi All,
My chess pieces are filled with tiny lead pellets which are in the process of falling out leaving them empty.
What material would you recommend that I refill them with? My aim is to have them weigh as much as possible.
Thank you,
Bob