I'm sure this is out there somewhere, but I couldn't find it. I posted a tutorial on how to make a weighted blanket on my LONG neglected, pathetic little blog. Pics are included. Please leave comments if you have any other ideas. Directions
I finished making one for ds yesterday. He loves it! It really helped him to settle for the night. He felt the weight was "cozy" and stayed lying under it instead of wiggling and jumping to get his "excitement" out. I was surprised that he didn't seem to sleep longer though. I am making him a weighted lap blanket today. I want to make a blanket for me too. I love the feel of the weight.
ETA: apparently sand is NOT recommended due to silica dust, which when inhaled can cause serious lung issues.