I think he is still doing them. He does paper banners as well.
They are two sided. You cut them out and glue them together. I used a thin layer of white/PVA glue. I fold & glue the banner, but leave the bits where it slides down the banner pole "dry" so I can glue it on later. After applying the glue & folding the banner, I "weave" the banner around paint bottles, dowels, pencils, etc so when it's dry, it will retain a wavy, windblown shape.
Here's a couple of pics of Imperial Forge banners I've put on some of my figures:
http://www.warhammer-empire.com/theforum/index.php?topic=20815.msg331647#msg331647Someone -- I think it might also be Imperial Forge -- had a web page showing a technique for making wavy banners from plasticard and plastic tube. I've done a number of these as well, for hand painted banners. It involves carefully softening the card using heat. I held mine over a low flame on the stove, using some long pliers to keep the "pole" end straight.
You can see three of those in the "Show us your banners" thread, here:
http://www.warhammer-empire.com/theforum/index.php?topic=32660.msg485799#msg485799Back to the original question regard printing out your own banners, there are a number of sites that have some available. If you're good with drawing and/or graphics software, you can also make your own. It's a similar process to the one mentioned above (glued together, etc.) I've used regular printer paper. However, before cutting them out & gluing them, I sprayed both sides of the paper with several light coats of clear spray acrylic, to seal the ink. I didn't want the moisture from the glue (which I also try not to use too thickly) to cause the ink to run.
My own home-made & home printed banners didn't look as nice as the Imperial Force banners, so I ended up highlighting them with paint. I was much happier with them after that. Just noticed I don't seem to have any photos of those. Maybe later...