Check the SG site! The official warbands are in the rulebook!
The unofficial ones are in the supplements (Lustria and Khemri)
I would NOT recommend starting out with a custom warband that is neither official nor unofficial. You should start with an official one because then it will be accepted everywhere you go.
If you want something "exotic" don't forget you can theme any warband!
For example you can make an araby-style warband and play it with Reikland rules (there, i said it... my idea... damn!).
PS: If that doesn't suit you, wait for BTB Supplement to come out and you will get more exotism that you can handle!