Hello Doug,
Some of your assumptions are correct, others not so. There are two ways to construct a whip bag that I'm aware of. One is like Edwards describes, you sew the two seams together and then fill the bag with shot. The other is to use duct tape. You lay the triangle of leather on the tape and fold the tape over to form a tube of the leather.
I'm sure either method will work, but I've only used the duct tape method.
You want to make sure the shot is packed tightly, but not so tightly that it distorts any part of the bag. You want the butt end closed and sealed before plaiting. When packed the bag should feel very firm and retain an even taper to the end. Once you start plaiting, the shot is going to want to escape because of the compression of the plaits. If there is no where for it to escape, it is just going to get more dense, which is what you want.
Once it is plaited over, it should feel hard and very dense and retain the taper of the bag.
It would never work to try and plait over an empty bag and then fill it.