You need: your flag (duh), carriage bolts
What to do: Take the cap off and insert carriage bolt into the cap. The flat or curved head should go headfirst, of course. One method I've heard used is the 2:1 ratio. So a 2 inch carriage bolt on the top, and a one inch carriage bolt on the bottom. The way I've got mine weighted right now is just a carriage bolt on top, I'm not sure what size though. I'll get back to you on that, but it works just fine for me. :) And if you want to have the flag look "lofty" in the air and slow down, add more weight to the bottom of the flag.
What you need: flagpole, colored duct tape to match the silk being used!
What to do: Last year we used duct tape because to me, it grips better. We had yellow flags so we used yellow duct tape and we applied it lengthwise as opposed to going round and round. You can always use electrical tape to match the color of the flagpole. That works just as well!