It also depends on the amount of weight.
For warm water situations where you might have 10 pounds or so. I recommend the "pass behind the back" as described above.
For all weights, especially the heavier amounts worn in cold water diving (20+ lbs), I recommend the roll method. To expand on the description above:
The belt has a buckle end and a strap end. With an inflated BCD, hold the weight belt by the "strap" end in your right hand. Just let the rest of the belt dangle straight down. With your regulator in your mouth, try to get as horizontal as possible on your back. Put your right hand at your right thigh. Now roll to your left while keeping the strap end at your right thigh. Stop rolling once you are face down in the water. Stay as horizontal as possible. The roll should have cause the weight belt to drape across the back for your legs so that the buckle end should be around your left thigh. Reach down and slide the belt up and secure it while staying as horizontal as possible.
The reason you want to hold the belt at your thigh is so that during the roll, the belt will not become hung up on the bottom of the tank.