Monkey fists don't *need* a weight in them, they are quite heavy enough without (and as a sailor I can assure you they perform their original function just fine without - that's the point, the knot turns any old bit of line into a decent throwing weight). When you use a monkeyfist for toys, be aware that the knot will be heavy and hard! My small practice meteor is made of 5mm rope with 6 turns in the knots, and it has taken chunks out of my shins, really, I've got some lethal heavy poi but nothing comes near the knots!
Give yourself plenty of rope to play with, and perhaps buy yourself some cheap rope to practice with (something nice and smooth that will undo easily rather than fraying your kevlar). A good size knot might only take about a metre or rope when it is properly tightened, but you won't get it tight until the knot has been formed, so you do need 50-100% extra to give you room to work, you take up the slack methodically when you are done. As you get better you can work with less slack rope, but you do still need space to thread the rope through. Incidentally, tying it as tight as you can as you form the knot will make it neater as well, as long as you know what you are doing.
One other quick tip, many instructons, including the link above show you how to form the knot around your four fingers, forming the first set of loops, then passing the rope between your middle and ring finger. Trouble is, you run out of space for the rope, so you either have to stack the rope for the second set of loops, making it harder to get a neat row of loops, or remove it from your hand inevitably losing the whole thing! I recommend folding back your middle two fingers (like a rock hands gesture) or for a small knot, just use the index and ring fingers with the middle folded back. You can actually loosely tie the whole knot pretty neatly like this, or, once you get good at it, remove it from your hand as you begin the third set of loops.
Oh, and noone linked to this yet:
http://www.homeofpoi.com/articles/monkey_fist.php