To produce estimates appropriately adjusted for survey non-response it is important to check all of the variables in your analysis and select the weight of the smallest analysis subpopulation.
All interview and MEC exam weights can be found on data files for the respective survey component (e.g. Youth and Adult Questionnaire, MEC exam, and Laboratory). Weights for a given component conducted on only a subsample of the original NHANES III sample are available on the data file for that particular component. In general, it is recommended that you select all weight variables from the Youth or Adult Questionnaire files which included most sampled persons.