According to the US Mint, pennies weigh 2.5 grams or about 11.34
coins per oz. Quarters weigh only 0.67 grams more than nickels, which
weigh 5 grams, so that's an extra 20¢ for a 0.67 grams, so there's no
reason to use them. Nickels are 5.67 coins per oz.
Costwise, pennies are $1.81 per pound, about 11¢ per oz. Nickels are
$4.54 per pound, about 28¢ per oz
Pennies are 0.750" in diameter and 0.061" thick. Nickels are 0.835"
in diameter and 0.077" thick.
Plus you can get them at any bank.