I hand separate them somewhat; pull out the obvious Zn and Fe weights, put obvious lead weights at the very bottom. Heat slowly, and stir occasionally, and watch once there's a puddle of lead in the bottom.
The only time I got burned was when I was melting down stick-on weights and I assumed they were all soft lead. There were a *lot* of steel weights and zinc weights in there, so it just looked like it wasn't melting. Now I know better. And I have about 5 pounds of zincked lead -- too much to throw away and not enough to try to purify by fluxing with sulfur.