[Hatzegopteryx]

I recently bought some lead in order to use it as weights, but I'm concerned that they could possibly produce lead dust and it will just accumulate over time. I would just like to know if I could possibly just cover it with a substance (paint, clay, etc) in order to prevent lead dust from appearing.

[billnotgatez]

I once was told they used clear nail polish at the Fort Henry museum for lead shot.

[Enthalpy]

In case dust is really a concern (intuitively, I would worry a bit less about repeated direct skin contact) you could cover your lead with a metal like nickel.

Contractor companies make nickel layers every day. I'd prefer electronickel which can deform more without breaking. The layer can be thin so it doesn't change much the mass, please check.

But why lead? Steel and bronze have a weight too.

[GentryMillMan]

I don't see any reason why covering the lead with clay or paint wouldn't work....

I guess like "Enthalpy" said "why lead?"  That really all boils down to what the application it is being used for.

I also can't help if your concern might be a bit overblown? how much lead are we talking about? Isn't lead still widely used as a fishing and tire weight?

[Enthalpy]

I don't see any reason why covering the lead with clay or paint wouldn't work...

I do see one reason: if the paint contains lead. 

To get an estimate of the risk, we may remember that the ancient Romans ended eating in lead plates and they didn't die quickly of it.

What kind of process shall make dust of the lead?

[Corribus]

Lead doesn't form oxides easily, and therefore the primary way you could form significant amounts of lead dust is if you subjected it to mechanical abrasion under conditions where the metal is likely to undergo brittle fracture - not easy, given that its ductile properties are well known.

I.e., forming lead dust from pure lead is not easy to do.

As has been remarked, lead is used frequently in, e.g., fishing sinkers. It's fairly inert and dangerous mostly in the form of inorganic compounds (dust), dissolved ions, and gas state (e.g., from smelting).

Note, this is my own personal opinion and is not professional medical advice.