I've cut strips from styrene sheet, since I already had it available. Generally works best for simple curves that stand away from the body, like a hanging strap on a bolter being held out, one-handed. More complex curves and twisting require the use of heat to get the plastic sufficiently pliable.
I've also used paper coated with thin CA glue. I find this works well when tighter curves are required, but only along a single plane. A bit more limited than styrene and not quite as strong, but cheap, easy, and reasonably effective.
Epoxy putty is the most flexible method, but also the fiddliest to get clean results from. I'd use it over the other materials for a soft, slack sling draped over complex shapes, to really hug the model's curves. It's also much easier to sculpt a knot than actually tie one, when those are required. For a simple weapon sling, you're better off rolling out a flat, overly wide ribbon and letting it firm up a bit, then trimming it square with a knife before positioning. With something like greenstuff, there's a reasonably long window where it has enough flexibility to be bent and positioned, but isn't so soft and gummy as to distort the edges and pick up fingerprints at the slightest touch.
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