If you mean a cloth banner - Printer paper.. cut to the shape you want, use a pen or other cylindrical object to give a smooth curl, coat in craft glue or mod podge and let dry, prime and paint as normal.
If you mean a metal banner like what comes with the vehicles, get some styrene, draw an orky picture on it (or cut one out and glue it down for a guide). Then take a sharp hobby knife and with medium pressure (not too much) trace over it several times. If you want a background shape and a skull or choppa or something, cut them out as two separate shapes and glue them together afterwards.
A good cheap source for styrene is to go to the dollar store, buy a garage sale or birthday party sign. I would scuff it with steel wool or fine grit sandpaper to take off the sheen but it works and is a pretty good thickness.
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