Well, as for making a heavier bearing, that wouldn’t really be an issue until you start learning about materials strengths and costs.
Most bearings are made of Stainless steel, whose density is 7.88 grams per cubic centimeters.
Let’s look at the two most dense (and not radioactive :P) metals, Lead and Osmium. Lead has a density of 11.4 grams/c^3 and osmium has a density of 22.6 grams/c^3. Lead is very ductile(soft) and osmium is very brittle – Not things you would want in a yoyo bearing. On top of all of that, it would be very difficult and expensive to precisely machine out bearing parts from those materials, all for a few grams gain. Stainless steel or ceramic are really the only practical materials for bearings. they have the perfect balance of durability and machinability
Making other parts like the hubstacks out of metal could be a more practical solution.
Also, if you want a more stable and heavy throw, pushing weight out further towards the rim is the way to go. (Warning: Physics ahead) Moment of inertia(http://en.wikipedia.org/wiki/Moment_of_inertia) is a property of a rotating mass to resist changes in velocity, so the higher the moment of inertia(let’s call it “I”) is, the longer it will spin. "I " Is higher for objects with less mass in the center, and lower for objects with more mass in the center. I is also exponentially higher as you increase radius. Also, read about gyroscopic precession(http://en.wikipedia.org/wiki/Gyroscopic_precession#Torque-induced), it’s the tendency of a rotating body’s axis of rotation to rotate or change. This effect is lessened by a larger radius.
Point of all of this is to get a heavier yoyo while still retaining stability and long spin time, you want to either increase the radius, increase weight at the rim, or decrease weight at the hub.
Sorry for the lecture,