Dark Nemesis,
You can buy some very nice factory made strops. But I'm cheap. I took a piece of scrap wood (that was very flat on both sides) about 2"x15" and glued some fairly heavy vegetable tanned leather to it. On one side the smooth side is up, the rough inner part is up on the other. Finding stropping compound might be a little harder, but jewellers rouge works really well, as Comrade Chang said.
You can also use other materials as impromptu strops, the cardboard backing on a notepad works pretty well, though it might take a bit longer. I've even heard of people using the palm of their hand to strop, after rubbing some dirt on them (I can't find that thread) though I wouldn't want to do that regularly.
When I get a chance to go to my Dad's shop I like to use a sewn fabric buffing wheel loaded up with compound. That is the lazy (or busy) mans strop, but don't let the wheel catch the blade. You don't want a sharp piece of steel flying around at high velocity. Never ever use a loose cloth buffing wheel either. That's an invitation for disaster.
All of the information you've gotten on this thread so far is very good. You will be presently surprised how much better your edges are after you start stropping them as a final step.
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Paul Davidson
Them:"What's that clipped to your pocket, a beeper?"
Me:"Uuh....yeah, something like that."