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...If you have already a made/working set flag, you really just have to change it with the original one in game dir.
But if you want to have a fully new flag, and you want to change that, you see first what flags the modders/'graf-ers' already made, and If you still don't find those flags you look after, ask someone to make them.
this is the important bit (I have my HoI2 in Paradox Interactive for example. In your Hoi2 GFX/map folder you will find two more folders (flags and shields). The flags are placed in one, the hanging flags 'shields' in the other.