There are a number of options.
Simplest, cheapest, and arguably the most flexible (and therefore the most sensitive), but not the most easily seen nor the most durable, are short lengths of wool or cotton thread tied onto the shrouds.
Alternatively there are proprietory ones in the form of narrow strips of very light cloth, sold in red and green pairs, which typically fit the mid-point round the shrouds and the two halves then stick together (self-adhesive or otherwise) close to the shrouds, leaving the “tails” free to waft in the breeze. I recently bought some of this general type from Speed Sails, actually made by Ronstan; these were not self-adhesive, but came instead with a small circular patch of self-adhesive material which one folds double around the shroud and which traps the tell-tales. The drawback with these is that in very light winds they are a little stiff, and also they are not particularly good on a run, since they are normally set up with the tails pointing initially dead astern, and thus on a run the tails have to deflect through 180 degrees. A choice of several on these pages: http://www.speedsails.co.uk/search.aspx?keyword=tell%20tales, http://www.purplemarine.com/catalogsearch/result/?q=tell+tales, or http://www.force4.co.uk and then seach on “tell tales”.