There aren't any weights required for Insanity. It uses only bodyweight. The only upper body exercises are various forms of pushups (plenty of them) and some tricep dips from the floor. It's great for fat burning, HIIT, core work, and legs and butt, but you might want to supplement with some upper body weight lifting.
I used it on my cardio days but continued with my lifting schedule for both upper and lower body.