If you mean the painting of them, then I don´t. I use transfers from LBMS, or in the case of medievals I make up my own sheets of designs. I just search out period images and resize them, group them onto one contact sheet, print, glue to thin cardboard, discard the shield provided and attach the new one. The same with the flags and banners.
I´m doing the same for a greek phallanx which will be 250 strong when it´s finished. To actually buy enough shield sheets to cover this (8 euros per sheet) would cost me 40 euros and as the figs are being speed painted for a mass effect and no real attention to detail it would be a terrible waste of money.
