Rim weights
At a hardware store or surplus store you can probably find large o-rings (pictured at top) that make decent rim weights, though they are quite light. A better idea is wire; pictured on the left is several circles of wire wrapped in black tape that I use in my TL Cherry Bomb. On the right is a couple circles of rubber coated wire... there's a couple pieces of tape wrapped around them so they will fit snugly in a yo-yo and not rattle around.

Center weights
I have not found much need for center weights that cannot be filled with TL center weights, but a metal washer can be used if you need something heavier (pictured bottom center).