I have never finese fished before and was wondering if it had to be done with a weight that was extreamly light, like from 1/32 - 3/16 oz. I don't feel weights that light very well when I am fishing so its hard for me to tell what the lure is doing. Can you finese fish with heavier weights effectively or does that defeat the porpose of finese fishing?

Haven't tried it myself, but I imagine you might have some success drop shotting with weights that heavy.  After all, nothing is stopping you from tying on a little hook and a little bait.

Finesse fishing has nothing to do with weight size.  It has all to do with presentation.  It's all about slowing way down and fishing a spot that you know has fish on it, very thoroughly.  Wether you are throwing a 10oz weight or no weight at all, it's all about the speed of your retrieve and the action you impart in the bait. 

Good luck my friend. 

Senko77 is right. Finesse fishing is more a "State of Mind" than anything.

Finesse: : to bring about, direct, or manage by adroit maneuvering

Adroit: having or showing skill, cleverness, or resourcefulness in handling situations

Under the guise of localism we have basterized the system to the point of "fubar"

Sure fish anyway you want as long as your catching them.  Call it whatever you want also. 

I agree with Senko