There are several threads on this, David Morningstar posted a youtube video with someone making Roman style biconals.  I have to use clay, no rocks where I live.  The best results I have had is using clay that can be used to make pottery and firing it until it gets red hot.  They will bounce off wood, put dents in corrugated metal, and can lie in water for a couple of weeks with no harm.  I haven't thrown them at brick or concrete so I don't know what will happen, I suspect it will break into several large fragments.  You can control how much they weigh by how big you make them, after firing, you can soak them overnight to add some more weight.  I make mine about the size of a golf ball, I use the same size ball to make a biconal.  Bill

I dont know if i am spelling this right but have just started use portland cemant comes in a 94 lb bag for $11 from lowes and u mix it up so it is like clay but a litte less moldable and makes great hard hitting balls and u can make the biconals but it is alitte harder to do then it is with clay but its alot cheaper u can make 800 - 1000 pices of ammo for $11 this is only if u cant find free clay hope this helps

SlingingRat I use the same thing.

Works good and if you have a backstop that will stop them without breaking them they basically last forever. I've also heard that if you add concrete bonder to the mix they are even stronger. My only problems with them is they are a mess to make and not as heavy as I would like. But definitely better then nothing.

I harvest mine using a plastic card at the not so local pottery works and generally end up with about 20 lbs... already cleaned.

I've tried all clay no additive .kitty litter but it shrank too much and cracked a lot.