First let me say that the quality wont be the same as found from the various online marquee vendors. This tutorial explains how to create your own marquees at maximum quality, I am creating my own simply because I would like to change my marquee every now and then, I get tired of seeing the same thing over and over and getting them printed from kinkos or online retailers adds up.
The printer used in this tutorial was an Epson R200, the software used is Adobe Photoshop CS2.
I tested many different papers from posterboard paper, to arts and craft paper, to banner paper found at officemax or made by Avery and none of it was any good, usually too thin or too thick, finally I found a solution, Epson Photo Quality Ink Jet Banner Paper on an roll (product: S041102)
http://www.newegg.com/Product/Product.asp?Item=N82E16828103051A roll of this paper costs $30.60 + 3.00 shipping from Epson directly but can also be found at other online retailers, even Newegg for around the same price. I know it seems a little expensive however it is 50 FEET of paper and 16.5" wide, while it is NOT glossy paper it is coated to enhance color and prevent the "soggy wet paper". The paper will come out of the printer "soggy" looking but after allowing it to sit over night it was smooth and flat.
Ok lets get started, first you will need a CLEAN flat surface, make sure it is clean or your paper will get dirty or stained, I rolled out enough paper to cut out roughly 30" in lenght, now a normal home printer only supports 8.5" or less, wide paper, in order to cut this 16.5" wide paper I used a normal sheet of paper and simply drew a outline to cut from. The left over 8" of paper can also be used if you set your printer, the width you need is based on how wide you want your marquee to be however I recommend using 8.5" or standard width size.
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After drawing your lines for cutting (mine was 8.5" wide, roughly 30" long) get out your favorite scissors or an razor/utility knife and begin cutting out your blank marquee paper, it does not matter if the edges of the paper come out rough looking unless you plan on printing right to the edge of the paper making an 8.5" wide marquee.
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Next, onto printing, I used Adobe Photoshop CS2 for printing however setting it up should be nearly the same for any photo program. Load your marquee and choose print or page setup, from there go into your printer properties and for the Epson r200 go into Advanced Mode, your screen should look like this, pick User Defined, a window will popup and enter the settings as shown or based on the size of blank paper used.


Change the print quality to as shown and choose your custom defined paper size.

hit ok and make sure your paper is in "landscape" mode

and this is how your print preview should look if using Adobe Photoshop CS2, notice the actual print size will be 27" long, 7.6" height or wide as I call it.

Onto printing, you may need to hold the paper as your printer catches it to pull it in, once its printing you can let it go just make sure it doesnt snag or get caught on something or itself. Again it will come out soggy looking but give it some time, I let mine sit over night and it dried out fine, the special coating on the paper absorbs the ink.
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Printing done!
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And the next day after it fully dried I took my razor knife and meter stick and carefully cut it out.
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And there you have it, your own printed marquee, I will post some more pictures later on showing it installed in my cab, the light shines through very nicely and there is very little, basically no "paper grain" effect, its hard to tell.
Enjoy!
*UPDATE* Installed Photos
Its difficult to get a good photo shot, these look washed out with the sunlight shining into my house at the moment, ill try to get better ones at night. The lighting behind the marquee shines through well and if needed I could always try to dim it more.