I would also assume that you would print out a sheet and then cut them apart, then laminate them. You would save on paper that way, since you can print out a bunch at once instead of one at a time.
I tend to prefer bookmarks that are of a heavier paper or a cardstock -and- laminated. These tend to hold up the best and keep your page the best, since the thicker paper is a bit easier to find in a book.
Another bookmark idea that would probably be more expensive and time-consuming to make but would be totally doable is a bookmark made of lamianted cardstock that folds in half and has a flat magnet on the inside ends, so when it is placed around the top of a page, the magnets hold together and keep it in place. I have a few like these from art museums, and it would certainly be a unique style of bookmark that is quite effective (though you'd probably have to sell them for a few dollars more a pop, fans may think it is worth it -- I know I do!)