So I', not entirely sure what tech level you are wanting to work with here, but I have some pretty hands on experience with explosives (And I've only been exploded a little bit!) In any case you are going to have a lot of problems with rigging anything that doesn't risk detonating while spinning the bola above your head. Here's and idea for how you could do it with modern tech.
First, you have a hub that you hold that connects all three of the bola weights together. This hub has a safety pin and a dead man's switch. Before use the pin is pulled and the dead man's switch pressed, once released the deadman's switch will initiate a timer which will trigger a blasting cap, I would recommend that this timer be set for 3 to 4 seconds. Next, the chord that connects each of the explosive weights is actually det-chord which is ignited when the det cap in the hub is triggered by the timer. This det chord will guarantee that all 3 explosive weights detonate simultaneously.
The explosive weights are a lump of plastic explosive wrapped tightly in scored steel wire which will provide the weight as well as a convenient source of shrapnel. The problem with a solid iron ball is that it will only break into 3 or 4 pieces which does not give very good odds for producing casualties (this was actually an issue with early grenades and explosive artillery shells.) The steel wire can be encased in a thin shell of whatever you want for water and dirt proofing but with modern fragmentation explosives grenades derive their shrapnel from the tightly wound scored steel wire, not the outer shell.
Lower Tech (IE more unsafe) Option
The central hub contains a 4 second grenade fuse, and a pin that is pulled by a lanyard attached to the wrist when thrown, the explosives weights are still connected to the central hub by det chord (which has been in use for over a century in one form or another). I would recommend a double safety pin system where the pull-lanyard itself is not armed until the main pin is pulled. This method could be used as far back as the late 1800's without breaking suspension of disbelief. In fact, the union army actually had an experimental impact detonated hand grenade that utilized a wrist lanyard like I mention here.
EXTREMELY low tech solutions (SUPRISE! Even MORE dangerous)
Option one is that the central hub itself is the explosive with a hand-lit fuse, the device is thrown with the intent that the target is tangled up by the regular chord and counter weights and cannot free themselves before the crude black powder bomb detonates.
Ultra-low tech option two which is insanely dangerous to even carry around let alone throw is that each of the weighted balls use a mercury fulminate impact detonated percussion cap. Good luck figuring out how to spin it up and throw it without two of the balls clacking together and killing you. Also don't drop it, sit on it, touch it any less than extremely gingerly, or even look at it slightly funny. This is a VERY moody explosive device and you don't want to make it angry on accident. This is the grenade equivalent of that significant other that flies into a furious rage when you simply show up home two minutes late. Just like abusive partners it is best to avoid a relationship of any sort with this device at all costs. But, it could still theoretically work.
Either Way, This is STILL an insanely Dangerous Weapon to Use
Regular grenades are already pretty dangerous to use. They tend to bounce around a lot after being thrown and manufacturing accidents can also happen. A few grenades I've seen thrown over the years detonated quite a bit sooner than the 3.5 seconds they were supposedly manufactured for. Additionally, they tend to throw bits of the environment around like nearby pieces of scrap metal, rocks, broken glass, bone bits from the victim etc etc. I once found an AK-47 embedded in an adobe wall, god only knows how fast it had been going or how far it would have been thrown if it hadn't hit the wall. Grenades advertise a 15m casualty radius, but that doesn't necessarily mean that there is a magical zone where fragmentation just stops. A rock or piece of an adversaries gun could be thrown with enough force to be lethal out to 100 meters. This is why grenades are almost always used against targets in enclosed spaces or when there is plenty of substantial cover to hide behind after throwing. Bolas are by the basic mechanics involved in throwing them intended to be used in an open area. At the very least I would recommend that the thrower immediately drop onto their stomach and cover their head. Preferably facing away from the blast. Or jump in a ditch or something. Seriously, don't utilize explosives without either being very far away or hiding behind something. I can tell you from experience, even being blown up just a little bit really really sucks.