Resistance bands.

We don't. It's malevolent mother fuckers like me that make the world burn.

Start mining at those locations for heavier elements and make your weights from those.

Tiny rockets/propellant canisters attached on top of the weights and activated so they constantly push the weights toward the surface. No need for weights even; just attach the rockets to the end of an empty bar and the configuration of the rocket determines how forceful it pushes toward the surface to simulate a certain weight being lifted on Earth.

EDIT: I was thinking of only a bench where the bar would only go up and down. A rocket pushing downward would be all that is needed.

For free weights and doing curls, where the weight rotates, you would want to have the propellant attached to a gyroscope so you can do curls and the 'rocket' would always stay pointing toward the ground as the weight rotates. Otherwise, without a stabilizer, curling would change the angle of force and instead point the rocket exhaust toward you as you curl and push the weight away from you.

Hopefully you would have adjustable gravity, at least within a limited range.

Just weld a couple of extraterrestrial boulders to a steel bar.

We're gonna become giants

You must suffer for your art.