I use either 1.5 mm tungsten or the small glass beads for small midges. Glass beads come in many different sizes too, so use the smaller (sometimes called "petite") ones for midges. I like the glass beads with a mirrored inner surface since it is more shiny like a bubble in my opinion. I've played with different color beads - red, metallic black, green, blue, etc - with misc results. Beads are cheap from a craft store and they come in all sorts of colors so you can play around.
The weight and where you fish midges are related questions.
Where do you fish midges? You fish them where the fish are!!! If they are on the bottom or you can't see them - fish them on the bottom; if they are flashing in the water column fish a midge at a mid level; and if they are at the surface fish them at or near the surface. The different weights help you fish different waters. If they are deep a tungsten bead sure helps - if they are near the surface it may hurt. If you can't get the fly down, a split shot or two may be the answer. There is no one universal answer whether to use tungsten or glass beads IMHO.
Also, you can tie a slimmer, smaller fly on a larger hook and get better hook-ups. I've gone to tying my Zebra midges on 16 scud hooks and just vary the size of the body - not the hook. Helps sink the fly and hook the fish. Of course some days I need a size 24 fly to fool them, but I start with a small fly on a size 16 hook.