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It's in Mami's route, in a flashback about one of her first fights. A boy is taken by a witch, and she fails to rescue him. At the time, she could only use her ribbons, so afterwards she experiments and figures out how to make her muskets out of them.
She even mentions that she attempted to make more complicated guns to no success. It seems anything more complex than a musket can't be created with her magic, since she needs to understand what she's making inside and out. The implication is that her ribbons can make anything so long as she understands how it works, which explains her modification to Sayaka's bat in episode 2.
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