There's a discussion in the comments on the Amigurumi, Deconstructed page about the perils of using organic materials to weigh down otherwise top-heavy amigurumi (I'd originally suggested using dried beans, but have been convinced it's not a good idea). I found the suggested weighted stuffing at Michaels this weekend, and I'm looking forward to trying them out.
Update: The beads are pretty small, and pop out through the stitches. Being ever fearless in the face of organic materials like wool, I'm going to stick with dried beans for now.
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