I've done this with an old barbell sleeve as Derek described. Not too bad, but certainly different than a stone. I guess it doesn't have to be exactly the same to get the training effect though.
As Dave described, a big sandbag works nicely. I've made a "hard", round sandbag out of layers of duct tape and canvas. It's in some ways harder to pick than a stone. But again, nothing quite compares to loading a stone. There's a very distinct feeling rolling a 230# stone up your body. Not a lot of weight, but it feels goood.