I've seen the ones with a more dull seat called a "wooden pony" which is cute. Here's the super reason *I* could never do it.

Traditionally you should be on tip toe and to do that would mean cramps... specifically calf cramps. I would honestly rather be branded (and i hate burning) than get muscle cramps. The weighting thing would be an alternative but you're looking at... let's say 5 minutes of use you're first go around... maybe a bit more.

As far as making something like that... I've seen around the net easily rigged ones. They aren't all pretty or super fancy and really just come down to a modified 2x4.