It is true that the golf swing is not all in the wrist, but the wrist is an active participant. The wrist holds the club at a certain position at the top of the swing, and helps pull it down vertically at the point of impact with the ball. The wrist needs to be strong enough to help pull the club back and swing through, so that you don't lose your grip on the ball or lose control of the club. Wrist weights, along with wrist exercises, can help strengthen the wrist. The weights add resistance, which helps strengthen the muscles.
There are several exercises that work exclusively on the wrist. One is a wrist twist. In this exercise, lay your arm flat on the surface of a table with your palm down. Then twist your hand over so that the palm is face up. While twisting your hand over, leave your little finger on the table. It might not seem like you're doing much wrist movement, but it is actually working a section of the wrist. Once the hand is twisted face up, hold it for at least a minute before returning it to the original position.
Lifts work on the forward and backward motion of the wrist. Place your arm palm down on a flat surface with the hand and wrist hanging off the end. With the weights attached to your wrist, lift the hand up. Repeat this at least 10 times, and then turn the arm over and lift the hand 10 more times. Do not move the arm; only the hand and wrist.
Place your arm again on a flat surface with the hand and wrist hanging off the end. This time, position the arm sideways, so that the thumb is up. Lift the wrist up from this position to help strengthen the side motion of your wrist. To work on the other side of your wrist, you will have to hold the arm behind you at a slight angle and lift the wrist upward, with the pinkie now being on top.