My weighted products
I am also quite small - I have ordered a Large Child vest from SensoryDirect (UK). I have sent off a form to order it VAT free. It says that diagnosis is not necessary, but I have mental health issues and a sensory disability (hearing) so I've put those down. I know someone who has had great success with the velcro pressure vest sold there.
Sensory direct have a video about their different products here.
I think the neck thing I have has been discontinued because I can't find it on either website, although CDA is very difficult to navigate. It weighs approximately 1.5kg. My vest will weigh 2.5kg.
Cheaper options
I'm planning to have a close look at the placement of the weights and possibly build pockets into other jackets. I'd quite like something more semi-/formal that I might wear to social events/job interviews. I think I will borrow my grandmother's over-locker to ensure durable seams. I will photograph the inside of the jacket when it arrives for your perusal.
If you are able to buy a cheaper vest, you may be able to build the weighted pouches into your own clothes by copying the placement, however you may be limited to a vest-like placement rather than a clothing one. You are welcome to look at photos of mine when it arrives, but will have to the sizing scale up or down so it may not be very reliable. Additional weights are available separately.
Alternatively, if you are happy with a pressure vest these retail from £45.95 - £49.95, plus £6.00 postage. Price assuming VAT exemption.
Another retailer - Cheap Disability Aids
I'm not sure where the one I'm borrowing is from, but the only other big retailer of sensory supplies (that I know of) in the UK is Cheap Disability Aids. Most items are cheaper on this website, however we ordered bath toys for my nephew and they broke within a month and my SIL ordered a vibrating pillow from there and the fuse broke.
We've had some success with non-electrical items from there and possibly some electrical devices but I can't be certain where they've come from. There is little choice in the weighted options and they are not terribly discrete.
Alternatives to weighted vests
I'm not an expert in vests, but I think the placement of the weights may be important to avoid injury - which could be a difficulty with filling up the pockets of a parka.
For sports weighted vests, I know very little about them but I would be careful to keep within the 5-10% of body weight rule and be much more careful about maximum wearing times. The vests on SensoryDirect do seem to come up a little light - mine will be just over 5% - but it is possible to buy extra weights (at an additional cost) for them. They are not the same as autism weighted vests - they are designed to burn calories/build muscle strength.
Something like this has removable weights and is cheaper than autism ones. So if you really wanted to try one, perhaps? But I do not endorse it.