I've seen folks use aluminum foil to shape greenstuff for banners. If I remember correctly, the technique is similar to the greenstuff tut linked above, except that foil is used in place of wax paper. The foil is manipulated into the desired shape, and allows the greenstuff to cure in that shape.
What material I use depends on the type of banner I want. Polystyrene sheets work extremely well. When heated, the styrene becomes very flexible, but it cools rather quickly. This allows it to form very natural-looking ripples. It is, however, touchy to control how the banner is ultimately shaped because it is so flexible and cools to rigidity so quickly. It will also stop looking natural if you handle it too much. Luckily, you can always re-heat the banner and shape it again.
I generally use the styrene method for broad shapes that do not need to fit very specifically around a model, such as sails or pennants.
I like to use thick cotton paper for very worn or tattered banners, such as the ones I use with my undead. I cut out the desired banner shape, moisten it with water, distress it, and then force it into the desired shape by covering it bit by bit in super glue.