Yup, they are called adjustable dumbbells. There are a variety of types. The newest ones are by
Bowflex and you click on some buttons and plates come off or go back on. They aren't cheap, but they sure take less space than a whole set. There are also s
impler small bars where you use a wing nut type collar to hold small plates onto the bar, but they really are a PITA to constantly change plates for each different exercise.
They probably aren't something you want to buy online because of the shipping costs. Do you have a local Dicks Sporting Goods or Sports Authority? I know that they carry them.
Mel