Hi Averil. In addition to the link that Karin provides (in which the Kravitz study seems to indicate that performing aerobic exercise with the additional external weights was no better than doing the same cardio exercise without it), there are other reports (if not studies) that talk about the potential for ligament strains, sprains, muscle strains and tears as some of the possible muscular-skeletal injuries that could occur when using ankle weights during aerobic activity.
I would say that given that there may be no additional BENEFIT from doing this, and there is a potential for added risk of injury, why do it?
I believe that I have a good source for you: http://health.msn.com/health-topics/articlepage.aspx?cp-documentid=10026…. In that article, some studies are quoted including one conducted by Len Kravitz who to me is a most reliable source.