1. What does it do to the knife?
2. How do you do it (technique)?
3. What materials do you need to purchase?
4. Where do you purchase them?
5. Is this something that if done wrong can mess up your knife?
First of all, take a look at this graph:
Looking down the Edge Pro column, and interpolating because the chart was put together before EP came out with the present 800 grit stone, you can see that the EP 800 is roughly 3500 on the Japanese scale, and it is the Japanese scale that is most often used by knife sharpeners. 3500 grit is at the lower end of polishing stones. You can use the polishing tapes for the EP and get about a 7k edge but it isn't necessary if you strop. I have done some testing on the effectiveness of stropping and have been very impressed. Even if I stop at the 2k level, stropping provides a paper push cutting edge with any decent steel.
The chromium oxide that is used for stropping is .5 microns, or 25,000 grit. There is even .25 micron diamond spray (50,000 grit) available and with certain steels adds another level of sharpness.
Answers:
1. Just like going up through the grits with stones, stropping removes a small amount of metal and polishes the bevel as well as refining the edge itself. Sharper, plus less friction equals easier cutting and better quality cuts.
2. It's like sharpening except only trailing edge strokes are used. I'll reference a tutorial under answer #4.
3. If you want to make you own, you need a base such as a 2X4 a thin, smooth piece of leather, and chromium oxide. Leather glued to wood is available from several suppliers and even an entire kit is available (next answer)
4. Many knife and straight razor stores and Internet sites carry strops and chromium oxide in solid bars. The consistency of grit size is questionable however. Dave Martell, owner of JapaneseKnifeSharpening, carries HandAmerican products. The HA stropping system is the "EdgePro" of strops if you will. It can be seen
here. Also note that there are two links, one for applying chromium oxide and the other a tutorial on how to strop, on this page and that will cover question #2.
5. If you strop at too high an angle it is possible to round the edge somewhat, therefore dulling the knife. Personally, I strop at a slightly more acute angle than the bevel itself. I feel that the leather finds its way to the edge and it also eliminates the possibility of rounding.
That's a start. Read Dave Martell's tutorial and we can go from there.