Well, you can use wheel weights, especially if you're going to shoot them in sabots or as patched balls. But consider this.

In a cartridge rifle, the bullet is larger than the bore and loaded from the breech. Upon firing the bullet swages down to bore size and fills the grooves.
In a muzzle loader, the bullet must either be the same diameter (or slightly smaller) as thebore'sland diameter, or soft enough to force in the bore to fill the groves (the way a Lee REAL does). If you cast a REAL with wheel weights you need a mallet to load it.
Pure lead won't lead the barrel if a decent lube is used and the velocity is kept below 1800 fps or so - even less of a problem if a felt wad is used.
Wheel weight patched balls shoot just fine and are great for plinking, but will punch through game with no expansion at all. I stopped using hard cast bullets in my .41 mag Blackhawk for just that reason. Even a wide flat nose design didn't give me the kind of wound channel I wanted.