Mass added at the headshell will add directly to the effective mass of the arm. Mass added further down the arm tube will have less effect on the arm mass, just like an anti-skate weight. Arm wraps do more for damping then increasing mass, unless it's heavy near the headshell.
The effect on the pivots should be taken into consideration. Some arms can't really support too much increase in mass. Same goes for rigidity and resonance. Hard to make generalizations - arms are very different.