I've too have used lead shot to weight my .38 Special cases. I simply dropped the required number of shot into the case and heated them on the gas ring of my stove until they melted. I then glued them to my arrows in the normal way.
I found that because the case isn't particularly strong away from the 'webbed' area near the base, my case blunts were very prone to get bent up when hitting the ground at an angle.
There is another way. If you glue some ordinary 11/32 inch field points to your arrow, the empty .38 case will slip over the top with a good friction fit. The combination of the two points gives you excellent weight forward and they hit very hard, plus you can always slip the cases off and use them as field arrows.
Mick