We've got a few different versions, all filled the same way--drill the end of the handle, start pouring stuff in.
Sand filled T-ball bats ~ 5 lbs. Used a small screw to seal it.
Sand filled plastic kids bats, about 4" diameter ~ 8 lbs. Used a bit of caulking to seal it.
Lead shot filled baseball bats ~ 14 lbs. Used a screw to seal it.
The lead shot was about $20 for a 20# bag (any good gun/reloading supply store should have a variety). They all work reasonably well, the plastic ones flex a little bit, but they've held up well.
Haven't used a Mace per se, but I frequently do clubbell drills with a sledgehammer. Basically the same idea, plus multi-functional. We have 8# and 16# hammers.