When possible, I prefer to let the line take the fly down. On a swung fly (streamers for trout, salmon/sea trout/steel head fishing) I prefer to lightly weight the fly just to help it penetrate the surface film and otherwise rely on the line density to reach the desired weight.
But sometimes, in some scenarios something else is required. For instance the Danish salmon- and sea trout rivers. They’re not particularly wide, and if you rely solely on the line to reach the desired depth, you might lose half of the swing before the line gets down. A heavy fly helps. But sometimes the fly’s just not heavy enough, and then it’s nice to be able to add weight on the fly - on the fly (there it was again - sorry).
Many different products are good for this purpose, depending on the fishing and where exactly you want the weight. If you’re nymph fishing for instance, maybe you want it up the leader, in which case you could use a heavy dropper fly to pull down a lighter fly on the point, or you can put sticky back lead on your leader above the fly. I’ve also used tungsten putty, which also works well (best over a knot to keep it in place and from falling off).
If you want weight on the fly, I prefer to use different kinds of beads. I simply slide them on the leader before tying on the fly. I always line them with plastic tubing to prevent the bead from accidentally cutting the leader if it for some reason has a burr, but also to protect the knot.
I’ve used different beads, coloured and non-coloured for years, but in later years, I’ve preferred the RAW-weights from Pro Sportfisher. They’re made from tungsten, come in three different sizes and for their sizes, they’re about the heaviest “package” I’ve seen, I think. They only come in the raw tungsten colour, but since I rely on them for weight and not for adding colour, that’s fine with me. These can also be added above the fly by positioning them between two knots.
This is a fast, east and very effective way to change fishing depth - although the casting be become a bit chuck-and-duck. It’s not pretty, but it sometimes is the way to get the job done.
Have a great weekend