Most air rifle pellets are pure, soft lead. This is so the thin skirts of the pellets will expand at the modest pressures they operate at. Good for muzzle loading, but too soft for modern smokeless, centerfire, cast bullet loads. A little Tin and Antimony will harden it right up. The problem today is finding a cost effective source for it. As was mentioned Linotype metal is pretty much a thing of the past. A bit like finding a Silver quarter in your vending machine change.
A lot of shot sold today has 5% Antimony mixed into it for hardness. The problem is that is expensive as well. 25 pounds of shot is still over the $30.00 mark. Scrap yards are a good way to go, but many can only buy lead and alloyed lead, but cannot sell it except to licensed smelting operations. All of this is a result of the "big lead scare". People today act like they're dropping like flies from the stuff.
I would say wheel weights are the way to go if you can manage to find a source. The bigger tire stores like Goodyear and Big-O have buyers for the stuff, but you might be able to work out a deal with some of the smaller local operations. It takes legwork and a lot of calling, but it can be done. Once you find a source they can keep you supplied for a long time. Especially if you take care of the owner with a fifth of Jack Daniel's at Christmas time! Bill T.