Plain paper works very well for me, and you can either design your own flags, and/or get images for free off the net, and copy them into MS Word, for resizing.
Use the right button on your mouse, to adjust the size of the flags, as needed, after you've clicked on the image. Match the other side of the flag in the same way.
A photoshop, or art program is useful too, if you need to reverse an image for the other side of the flag - do that first, and then paste both halves into MS Word, and re-size as desired. I use millimeters when doing flag work - you can adjust that in your settings, as needed.
I then make a small rectangle to match the color of the two halves of the flag, and fit to size and shape needed to cover the diameter of the pole I'm using. Place it between the two flag halves.
By holding down the control button in Word, and using the arrow keys, you can position the rectangle precisely as needed, between the two flag halves.
Let dry, after printing.
Then, use white glue to attach the flag to your pole, lance, etc.
Allow it to dry a little, and then bend it a bit to get the wind-blown look. Works very well, and is quick to do. Once the glue dries, it'll stay that way.
Use a magic marker, or colored pen/paint to cover any white showing along the edges, where you've glued them together. This attention to detail improves the look of them by 100%.
Some people even paint over their flags with either paint, or in Photoshop, to give them a multi-colored look, as if the flag has faded a bit in some spots. That looks very nice too, when well done.