Yeah, they're pretty expensive. Since I don't use them extensively, only for some cymbal swells here and there, I DIY-ed my own.
I based mine on this tutorial -
Cartweel-Type Timpani Mallet Covering - as I felt these were closer to the Zildjian Dennis Chambers felt-covered mallet heads. I used cork for the core material, are removable. I usually leave them on though.
Note: I once asked on cymbalholic which type of mallets are ideal for playing cymbals - a guy who plays in an orchestra mentioned that he prefers using vibe mallets (yarn wound) on cymbals.
I'll be trying this other style some other time... it's more complicated.
http://www.rossmallets.com/images/resources/proTips/malletwrap.pdf