I saw someone on Slot Forum make these and decided to give it a whirl. You'll need some fairly thin styrene plastic, styrene or wood tubing for the flag pole, and a heat source. I personally use a cinnamon scented candle, since that seems fairly manly compared to the lilac ones I know Tubby keeps in his slot car lair :P
1) Start by gluing a piece of thin styrene plastic to a tube.

2) Using a candle (scent of your choice!), carefully heat the plastic until it starts to move.

3) As you can see, it will curl if you hold it long enough.

4) When you get the shape you like, simply remove from the heat.

5) I made these in less than 5 minutes for my pit structures.. Still need paint though.

And there you have it! I'm currently making my track logo into decals and will put one on each flag, but I'm happy with the way they turned out!

And here are the larger ones on my footbridge:

Hope that gives you some ideas, and if you have any questions, feel free to ask!