I don't think it is possible to use a native ISO 125 or ISO 400 film at super low ISO values like you are describing. At least, I've never encountered anyone doing it. You can use neutral density filters as has been suggested, but they are indeed expensive. I'd suggest using a sheet of welding glass (10-15 stops difference). The results may not be as good as with a ND filter, but it does the trick if you don't want to spend a lot of money.
Alternatively, you could just make paper negatives.