Thought I would share if anyone else wants to know as people have commented on them before.
All you need is;
Milliput standard (£2.80 @ Antics)
Primark 5 PAIRS 15D Sheer Tights in 'Sunkissed' shade (£1.40 @....Primark?), you can choose shade as you wish

A bit of glue and regular tools (scissors, knife etc)
To start I mix the Milliput to a similar size and shape to a scale sandbag I already had (bottom left is just Milliput);

thats about 18mm wide, 35mm long and 9mm thick.
Then cut Milliput in half and mold these two halves into half the sandbag shape;

Now cut out a rectangle of the tights about 2-3mm wider than the shape (I use the edge of the tights here);

Place these two halves with one end together on the material, then fold the excess around the Milliput;

Fold the two halves over into one form, make sure all the tight material is tucked in, then put a little glue along the seam to stick it well.
Mold the sandbag into desired shape, I like to make a fold effect with the back of a knife at the top;

I got 16 out of 1 box of Milliput, I worked it out to about £3 for that so 19p per sandbag, plus maybe 2 hours work

Anyway hope this is some use to others, if anything is odd or needs more explaining just ask

Cheers,
Dave