Sand is a good choice,it adds weight, but allows flexibility when punched. You want the stitching to be good, either on vinyl or leather. Maybe best to buy it instead.
Use an old duffel bag or leather bag so that it does not get damaged easily. Fill it up with sand or old clothes. In addition to zipping the bag closed, tape the opening so that the sand does not come out. Hang it up by a strap and hang it over a bar or on a strong hook.
