Raul
Doug is completely correct as long as the dimensions of the counterweight do not change*.
Remember that "effective mass" is actually the moment of inertia of the arm divided by the square of the pivot to stylus distance. Doubling the conterweight mass and moving it half the distance to the pivot halves its contribution to the moment of inertia because 2 x 1/2 x 1/2 = 1/2.
The counterweight is usually responsible for between 20 and 40% of the moment of inertia of an arm, therefore doubling its mass will reduce the moment of inertia by around 10 to 20%.
* If you make the counterweight larger a second effect comes into play: the moment of inertia of the counterweight about its own centre of mass will increase and this will affect the arm as a whole according to the parallel axis theorem. You could double the mass with the same dimensions by making the counterweight from a material with twice the density of the original - changing from brass to a tungsten pseudo alloy would be very close to this.