Wrapping ultra fine lead wire would give you the most weight, and not necessarily make the body too bulky. If all you have is thick wire, then you should tie it along the side. I generally fish this as a wet fly rather than a nymph. So instead of weighting it, I like to use it as a dropper off of a copper john.
Just my 2 cents,

Chris

[This message has been edited by CJR (edited 06 September 2005).]