Let me know how they shoot. I have a 338Win Mag and have thought I would like to try that Lee Bullet.
To answer your questions, according to Sixgun.
Streight water quenched wheel weights should do fine but I think I would plan on investing in some gas checks. Go ahead and try it without but my guess would be that accuracy will improve a whole bunch with them. I have seen gas checks change a shotgun pattern to a 3 or 4 inch pattern at 100 yards.
I have always used Hornady gas checks and it has been my experience that they fit snug on Lee bullets. If they are loose, run them through a sizer to crimp them on. Lee makes a cheap on that works good for about 15 dollars.
Lee Liquod Alox is a really good lube and is available in all of my local gun stores but if you have trouble finding it, it is always available at Minwayusa.com. It goes on easy and will actually remove lead from your barrel. That is Lee's claim, I have seen it with my own eyes on my 357 Max and Paco Kelley said so too.
I would try to keep the volicity around 2000fps.
Sixgun