This sandbag is quick to make and uses materials you may already have around your house. I use this one for adding stability to a rolling table, but you can make it all sorts of shapes for other things including:

picnic blanket weights
exercise weights
alternative to tent stakes

Supplies

Heavy duty trash bag
Duct tape
Fabric scraps (I used an old apron)
Sand
Rope (optional)
Sewing supplies (I used a sewing machine, but you can sew by hand with a needle)
Tools for cutting rope (I used a knife and a torch)

Step 1: Make the Inner Lining

The inner lining doesn't look like much, but it keeps the sand from escaping. This sandbag is long and skinny, so I found a long box to use as a mold. If you do the same, make sure to loosely wrap the trash bags. When I made mine, I wrapped too tight and it was very difficult to remove the lining from the box.

After you form the shape, use duct tape to reinforce the bag. This keeps it from stretching under the weight and helps it maintain its shape. Even if the end of the lining is closed, it is a good idea to fold it over and further reinforce it.

Once you have the shape, you can add some sand (not all of it yet) and check the size and shape.

Step 2: Sew the Outer Lining

The outer lining isn't strictly necessary, but it makes the sandbag a lot easier to handle and to look at. It also adds to the durability. I used an old apron, but some old jeans would work great. This is essentially a pillowcase. Sewing is not my strength so you may want to refer to some other examples of how to make pillows. Remember to stitch it inside out!

I did two things to make the apron work:

cut the apron into two parts long-wise to form material into the snake shape
leave a small gap in either end for rope

You will see the gap in pictures 5 and 6. The rope feeds through the sandbag and out either side with a loop on one side. The tope is optional but makes it easy to attach the sandbag to whatever.

Step 3: Stuff It

It is nice to see a project come together. This step is fairly self-explanatory: stuff the inner lining and rope into the outer case, fill it with sand leaving some room for flexibility, and stitch it closed.

This is when I knotted one end of the rope and trimmed the other end to the final length. Cutting nylon rope can be a bit tricky. I go more into hot knife cutting in another project about stringing a hammock.