I have a pair of clubs, about 11 1/2 lbs. each, that I made for less than $10.
Buy one of those K-mart orange whiffle ballbat (and ball) sets. I think they're like $4. You'll find them at any K-mart, or something similar elsewhere.
Slice an X into the bottom of the bats' handles, and poke in the four flaps which result. Now poke a hole perpindicularly all the way through the handle of each bat, and tie in a lanyard (shoestrings work).
Buy a 25lb bag of play sand, cost about $2. Fill each bat with sand all the way to the handle, just before reaching the lanyard.
Mix up some plumbers resin, cost about $3. Fill the rest of the space in the bats, from the lanyard to the base of the handle. Shave off any overflowing resin.
There ya go, two 10-12lb clubbells, roughly the same size as Sonnon's $100 pieces.
For a nice grip, you'll pay more than the bats themselves! For about $5 per a bat, get yourself a tennis racket re-grip. Wrap that around the bats' handles. Real nice finishing touch.