If you do punch with weights, make sure they are extremely light. Heavier weights cause a dragging effect which actually is detrimental to your development of punching power.
Ross Enamait (http://en.wikipedia.org/wiki/Ross_Enamait) has written some really good articles on developing punch power. Here's an article he wrote about Heavy Bag usage.
Also, if you really want to incorporate weight training into your punching invest in kettlebells. Invader Chris's suggestion to get resistance bands is a good idea too.
Here's an interesting usage of a mini medicine ball to add weight into a punch-training routine.