I've tried making my own solder paste stencil using 4 mil polyester (for overhead projection slides) on a 45W Epilog laser cutter at the local TechShop maker space. I could not "cut" the stencil cleanly, because the edges charred and became uneven. I had some more success with "etching" the stencil, but the solder paste application still had a lot of slop around a 0.5mm TQFP footprint (generating several solder bridges.) Meanwhile, when I used a stainless steel stencil from Advanced Circuits, for the same footprint and paste/applicator, the imprint was super crisp and no solder bridges.
I know that others are successfully applying solder paste with polyester/mylar based stencils from places like Pololu or OSH Stencils. Given that I have access to a laser cutter, I'm thinking there's got to be a way to make them on my own, and probably the problem I had was that I used an inappropriate film/material. However, researching online, I can't find any material specifically billed as being good for this kind of work -- so, does anyone have experience to share on particular materials for laser-cut stencils? Part numbers or at least specific brand/model names would be great!
EDIT in October 2016: OSH Stencils now offers affordable steel stencils, so making my own is much less desirable. I highly recommend steel over plastic!