You don't need a casting furnace, but a decent lead thermometer would go a LONG way in keeping the zinc out of your lead, as would sorting through them to begin with. There are several easy test to determine if they are zinc or not and even if you have contaminated lead with zinc. If you go the thermometer route just keep your melt temp below 700 and the steel and zinc will usually float to the top. However, you should always start with some known alloy in the pot first before adding to it so you know what the actual starting temp is. Add in a little at a time so as not to drop the temp too much ans try to keep it constant by the addition of more weights as you go.
The easiest way to keep it out in the first place is to use a set of side cutters and after separating the possibles from the known lead weights, you simply cut into them. The lead ones can pretty easily be cut into, not all the way through but enough to know it's lead. The zinc ones, you might mark them but your not going to give them a cut, unless you have some darned good cutters and supreme hand strength.
If you do a search on the net, you will probably find several links to sorting out wheel weights I know for a fact there is a good one here,
Hand Sorting Wheel Weights
While your there browse the other stickies and you will find how to test your alloy using muratic acid or drain cleaner. Sounds WAY worse than it really is.