Brrgrr,
The purpose of the SB option is to get the effective mass of the cartridge/tonearm combo high enough to get into the range where a ZYX performs best. From my experience with many ZYX models and reports of others, that range is somewhere around 15-20gm or so.
So, total up the effective mass of your tonearm, the weight of the cartridge and mounting screws. Then add whatever additional weight you need (at the headshell end) to reach 15-20gm.
Whether you add the weight with ZYX's SB option, VPI's headshell weights or otherwise won't matter insofar as effective mass is concerned. Of course the fact that ZYZ's SB weight is glued to the cartridge probably effects the propagation of stray energies differently than a VPI weight, but I can't say which would be better as I haven't compared. All my ZYXs have been with the SB.
P.S. ZYX doesn't sell a copper weight as far as I know. The only weight option is the "SB" option. What ZYX offers in copper, silver or gold are different material options for the coils.