What kind of weights to anchor helium balloons in a pool
Floating heart shaped balloons (Source: viviangan.com)
What kind of balloon anchors could I use for helium balloons in a pool?
I am guessing you want the balloons moving around the pool, right? Then you should use a weight that's light enough to float, but heavy enough to keep the balloon down.
(Lifting capacity of a helium balloon depends on its size and shape. Here's a handy helium balloon chart).
In the images I uploaded two types of anchors are being used: one is a metal (or plastic) disc; the other seems to be some flat rectangle plastic box or a piece of foam.
You could use small plastic bottles filled with water.
Don't use sand, marbles or rocks in your balloon weights. These items can damage the pools filtration system if one happens to break.
Good luck! Would love to see a photo of your pool decoration.