How old is your puppy?
IMO I don't think weights are necessary.
If your puppy is young you really don't want to push him with forced exercise as it could be hard on his bones and joints. Boxers are normally thin looking until they mature at the age of 2-3 years. Feeding an excellent quality food and regular exercise (such as playing and running) should be all he needs.
I'm sure others with more experience in conformation will be able to give you advice on how to prepare your pup for the ring.