You have several options:
1) You can print them directly onto magnetic backed sheets that feed into your printer. Try an office supply store, or I believe someone posted that
Amazon has it.
2) You can print on heavier paper (card stock or cover stock), laminate, then apply small magnets (sold in strips or as small pieces at places like Wal-Mart or craft/hobby stores).
3) You can print on heavier paper, then run them through a Xyron machine (if you have one of the larger capacity ones). I purchased a cartridge for mine that laminates on one side and applies magnet on the back.
Lamination is probably optional, I just find that they hold up much better that way (plus they are more or less "waterproof" then).
I may have missed some options, hopefully someone else will post if they have used another method.