I've tried using training weights and the 'official weights' are more designed for ankles than hands. If you imagine doing a punching action they are just going to slide up and down yours arms, very uncomfortable.
I'd recommend a pair like these
Nike Wrist Weights
They are what I use, the thumb loop prevents them from sliding around but it still leaves all your fingers free.
If you want to use weights with your Wii, you might as well do it properly
Wii Weights for excercising
Linear Mode
