How do you make thoose little piping bags for intricate details? (I have seen them use them on Ace Of Cakes) Will buttercream work in them?

Wilton has small parchment bags in boxes. They come in boxes of 100 (not sure if you can get them in smaller amounts- They are only a couple of dollars for 100 ($7/box at Walmart where I live))

Use parchment triangles. Fold them over so that they overlap...here's a video that shows how:

I cut my parchment bags in half and it seems to work fine.

You can cut Wilton's parchment triangles in half and get to smaller bags, alot like they use on AoC.

I'm scared the parchment would break and spew on my cake, so I cut down my disposable bags. I don't like doing it, though. Such a waste.

More expensive too! Give the parchment a GOOD try. Once you get use to them you won't use the plastic ones as much.