Something denser than lead but with lead like properties?
Here's a link to a listing of the elements in the periodic table sorted by density.  The density of lead is 11.35 g/cm^3.  If you wanted higher density, no toxicity and to really let your pinky live in style, then gold with a density of 19.32 would be a possibility.  Other relatively available elements that are denser than lead and without toxicity concerns include palladium (12.02), rhodium (12.41), tungsten (19.35) and platinum (21.45). If you're willing to be a bit less dense than lead, then you can reduce price by using copper (8.96), molybdenum (10.22) or silver (10.5).  Alloys of some of these elements are also available at high density, but the cost (due to fabrication costs) is likely to be as high or higher than that the element itself.