Got back in the shop today, and continued working on the MDF moulds for the counterweights. I trimmed the MDF blocks so that they butt together to define the outer shape of counterweight, and dry-mounted them on a backing plate (that defines oneface of the counterweight) with screws.
A check of the mould depth (defined by the thickness of the MDF blocks) revealed that I needed to shim the blocks up (by about 1/32") to get the right depth. A set of washers around the screws did this quite well, and I flooded the gap betweeen the backer board and the blocks with Bondo.