"Flywheel weights cause the engine to rev slower and alter the power curve giving you more low end. It is a great mod if you have a KX or YZ you want to adapt for the woods, but really no need on the KDX...you would take a big hit on top end."
It seems others have answered your question just fine, but let me clear up some things here. A FWW will do nothing to your engines power characteristics(IE when looked at on a dyno). They are made to add weight to quick revving engines to calm their 'snappy' characteristics. You want this snap on a MX bike, but might not want it in the woods. The biggest reason for added FWW is to keep the engine lugging at low rpm's. Think of having more FWW as opposed to less in the terms of a bicycle tire. A FWW would be like filling your tire w/ lead. THe power of your legs will not change by doing this. You will be slower to get going, but will hold your momentum much better. THis directly relates to FWW. More weight at the out edge of your reciprocating mass will give the entire resiprocating assembly more 'momentum' so to speak. They do a good job of smoothing out idle as the momentum forces the enging to keep turning over and fire.
The KDX already has a decent amount of FWW, and when combined w/ a granny 1st, and KIPS I've never desired to add more weight. I consider more FWW a necessity on a MX bike that will be used in the woods. IE KTM MX/EXC's come w/ more flywheeel weight then the SXC. In fact tank size, and FWW are about the only difference betweeen a MXC, and SXC. Kawi has already added FWW on the KDX for you, but more could be added as a preference.....
My 2c
John