I used to find the heft of an all-steel Walther PPK/S reassuring, but the more I carried it, the more it would irritate me, so I compromised and bought a Ruger LCP. Same cartridge, same capacity, but substantially smaller and lighter. At first I felt suddenly as if I wasn't well armed, simply because I had come to associate that weight with being armed, but over time I have broken that association because it just wasn't logical.
The only way a gun being heavier is beneficial is when it helps to dampen recoil, (which it certainly did not on my straight-blowback PPK/S, in fact it actually had more recoil than the LCP) or if you plan on using it as a bludgeoning instrument.
Nowadays I carry an SW40VE during Wintertime, which weighs roughly as much as my old PPK/S, but holds twice the ammo and is chambered in a substantially more powerful cartridge, yet has less felt recoil.
In the Summertime I carry an M&P40 Shield, which weighs a few ounces less than the PPK/S, yet holds the same amount of rounds, and is substantially more powerful, with recoil which is roughly the same.
That being said, one of the most important facets of self-defense is self-confidence, so if carrying a heavier weapon makes you feel more confident, then it's much better than carrying something lighter than you just don't trust as much, even if it is just as powerful or even more so.
