What are the purpose of lead weights?

Would I attach them to my club in order to build my strength up a bit and then remove them to get a faster swing?

If you search on swingweight in google there are a lopt of explanations about swingweight

an extract from one of them is

If the swing weight is too light a golfer might:
Take club back quickly
Have little sense of rhythm and balance
Hit fat and thin shots, and have no discernible pattern

 If the swing weight is too heavy a golfer might:
Have steep backswing with a tendency to collapse at top
Loose club control
Have a predisposition to hit the ball fat

The most important factor is generally that all clubs in a set should have the same swingweight and weights can be added to individual clubs to make them the same.

Of course this should not be confused with the big swing weights that can be added to a shaft which are easily removable. These are desgned to build up the the appropriate muscles by swinging a much heavier club.