You will find flex PCBs inside most cellphones or similar miniaturized gadgets. Flex PCBs are useful for making tiny cables and extremely lightweight circuits.
However, few shops yet make custom flex PCBs for reasonable prices in small volumes.
Step 1: Get copper-coated film
Pyralux sheets come in many different varieties of polyimide thickness, copper thickness and adhesive thickness (the "adhesive" is between the copper and polyimide holding everything together.) Copper thickness is given in oz per square foot, while adhesive and Kapton thickness is given in mil (1 mil =0.001 inch).
Pyralux LF7062 (pictured) has 1/2 oz Cu, 1/2 mil adhesive and 1 mil Kapton. This works OK but is a bit thin and crinkly for the printer to handle.
LF9120 has 1 oz Cu, 1 mil adhesive and 2 mil Kapton - seems to work best in the printer
LF9210 has 2 oz Cu, 1 mil adhesive and 1 mil Kapton - stiffer, but works OK
Other options are double sided copper ( a sandwich of Cu/Kapton/Cu held together with adhesive) and a roughened surface, denoted by R at the end of the part number.
The roughened sheets and double sided sheet work OK. However, Pyralux with 2 oz or thicker copper can be difficult to feed to the printer, especially if there is copper on both sides.
See if you can get a free sample from DuPont. Occasionally, Pyralux sheets turn up on eBay.
Cut the Pyralux sheets to 8.5x11 or 8.5x14 inches with scissors or a knife. Avoid smudging the copper with fingerprints or oil, which can block the etch solution later. To protect the printer, try to keep the edges relatively flat and free of burrs.