Any lead weights under 1 ounce are illegal to use in Massachusetts. For slip sinker rigs or any other rig which requires a weight, I use bullet weights, which are made of stainless steel, and I highly recommend these.
I have never heard of anyone being fined for using lead weights. I don't think it is a top priority for the EPO's. It is all up to you whether you feel comfortable using them or not. I didn't toss all my lead out, but replaced as needed with steel or tungsten!