As deep learning models are applied to increasingly diverse problems, a key bottleneck is gathering enough high-quality training labels tailored to each task. Users therefore turn to weak supervision, relying on imperfect sources of labels like pattern matching and user-defined heuristics. Unfortunately, users have to design these sources for each task. This process can be time consuming and expensive: domain experts often perform repetitive steps like guessing optimal numerical thresholds and developing informative text patterns. To address these challenges, we present Snuba, a system to automatically generate heuristics using a small labeled dataset to assign training labels to a large, unlabeled dataset in the weak supervision setting. Snuba generates heuristics that each labels the subset of the data it is accurate for, and iteratively repeats this process until the heuristics together label a large portion of the unlabeled data. We develop a statistical measure that guarantees the iterative process will automatically terminate before it degrades training label quality. Snuba automatically generates heuristics in under five minutes and performs up to 9.74 F1 points better than the best known user-defined heuristics developed over many days. In collaborations with users at research labs, Stanford Hospital, and on open source datasets, Snuba outperforms other automated approaches like semi-supervised learning by up to 14.35 F1 points.