Bob is right. There is no point in trying to cut a track 3" into the wall. Apart from compromising the structural integrity of the wall, it will take you forever and you will burn out a lot of angle grinder discs in the process!
You also need to think about what width of lead you need - it comes in 9", 12" etc rolls and the wider it is the heavier it is and that matters when you have to get it up onto a roof.
It also comes in different weights - Code 3,4 and 5. A minimum of Code 4 is needed for flashings.
Like Bob says, keep the lengths short - 1.5m max and sand & cement is definitely better for pointing afterwards - silicone mastic may seal it but it won't resist the weight of lead tending to pull out of the track and lead also creeps over time - another good reason for keeping the lengths and widths as short as possible.
Do wear gloves when handling lead. Don't eat or drink without giving your hands a good wash first. Lead is toxic.
JD
January 2009