Here's how I photograph my models. You don't need a fancy light box, just a backdrop, tripod and a camera that allows you to adjust your aperture and shutter speed manually. If you are not sure what those terms mean, I'm not going to go into it, it's pretty easy to learn the basics online.
Here's my setup. I simply use natural lighting. Do not use direct lighting, it will create harsh shadows. I use indirect sunlight. Overcast days are the best for this but in the high desert of southern California such are rarities, along with people driving under the speed limit. Gentle indirect sunlight, such as that from north-facing windows (if you're in the northern hemisphere, folks down under will have to reverse those instructions) is the best. Make sure all artificial lights are off as they will add unwanted color to your photo. Incandescent bulbs will give it a yellow cast while fluorescent will give a nasty cold green. I'm not sure about the "natural light" bulbs which claim to be pure white, I figure natural sunlight works fine for me. It has a tone of its own but I'm familiar with it and can easily correct the color balance.
The next thing you need is a backdrop. My main one is a blue-to-white fade. The top is 75% pure blue and the bottom is 25% blue. You can make it yourself with Photoshop but I understand you can also find them online and simply download them. I'm not sure why everyone uses blue, but it does seem to work really well, it makes the mini stand out better than a gray backdrop. Unless you're playing Ultramarines, or an army covered in woad. If you don't have this, or don't want to spend an entire print cartridge on just one backdrop (by the way it needs to be at least 11" wide, you'll have a tough time with large vehicles if not) a simple light gray shirt or pillowcase will suffice. A large piece of off-white paper actually works quite well. I use an off-white piece of paper for photographing my Tyranids as it makes the blue stand out better.
Set it up with a gentle curve. You don't want a fold. I support mine with a diaper box and two spray cans, but you don't need to follow my recipe exactly.
Next you'll need a tripod. I bought mine for less than $10 in Circuit City's death throes. You can find them quite cheap, usually from sketchy people in heavy tourist areas. I have been to Italy and they certainly have a thriving tripod industry. When Francesco de Sanctis designed the Spanish Steps I'm quite sure he never imagined a bunch of non-Italian peddlers hawking tripods, bizarre toys and knock-off handbags on them. Anyway, you can get one for cheap. It doesn't need to be a big one. If you can't get a tripod, try balancing your camera on some books. It gets hard when you need to do a top-down shot and you're balancing on books.
If you notice in my picture above, the tripod is on the chair. This is so I can get a straight on shot. With the legs folded it is too tall, so this is what I found that works best.
Finally, your need to have a camera that will let you manually set the aperture and shutter speed. What you want is a closed down aperture, the higher the number the better (a real photographer will probably argue that point but it works). This means you will need an exceedingly slow shutter speed. Mine generally runs at a couple of seconds, some days with less light I have had the shutter open for at least ten seconds. On that note, unless you have a remote for the shutter, you will need to set the timer for the exposure. Otherwise, when you hit the button, the mere pressure from your hand will shake the camera, making your photograph look like the filming of Cloverfield. Simply hit the timer, stand back and let the camera do its thing.
The reason you need the previous step is for the focus of the mini. If your aperture is wide open, the foreground and background of the picture will be out of focus. I'm sure you guys have all seen pictures of models mostly out of focus. By closing down the aperture, and therefore having to increase exposure time, it puts the whole miniature in focus. You'll notice that even on huge models like my Barbed Hierodule the whole thing is in focus.
Later I put the image through Photoshop and adjust the white balance, crop it and that's it! It's cheating to do touchups on your own painted models.
For the TLDR crowd, indirect lighting, tripod, and slow exposure. Hope this helps, let me know if I wasn't clear on anything in the comments.
**Post Edit 1/15/11** I have improved my technique even further. I bought a full size tripod at a garage sale for $5. It's fantastic. Also, I've discovered that I don't need to close the F-Stop all the way. Depending on the mini you can adjust it in the midranges and still have everything in focus.