Just thinking out loud here as I haven't tried this. Perhaps you could make a pouch with bb's or stell shot and put some prefelted wool all aorund it, felt some more and continue adding layers of wool. Or if you mixed shot and wool in the pouch you could felt onto this. Hmmmm.
Sounds exactly like me LMAO... I started this feltie off and was so inspired by the whole idea of wings that I forgot about putting some weight in the little bugger!! I cant wait to finish him... he just needs arms legs and face and decoration and... oh geez, I need to get boogying!!!