Here's my take on why an airplane turns (this is better than working...). I must admit that this theory comes from flying full sized aircraft, and as some of you have mentioned, there is a whole new breed of 3-D R/C aircraft that have some amazing power-to-weight ratios that may throw a few physics curves into the mix...

An aircraft turns because the horizontal component of lift is being vectored one way or another, as Bax states. I have to disagree with the point that "Once a bank is established, and all controls neutralized, the airplane will make a nice, 1-gee turn". It will continue turning, however, it won't be at 1g. When an aircraft is in a turn and holding a constant altitude, the wing loading goes up. A 60 degree bank produces about 2g's. 45 degrees, about 1.41g's. Ailerons roll the aircraft into a bank. Some of the wing's lift is now being vectored in that direction and the aircraft turns. Now that all of the lift of the wing is not in the vertical orientation, angle of attack must be increased to hold altitude. This is what the elevator is used for. In a turn, rudder controls adverse yaw, nothing more. The aileron that goes down increases lift and increases drag, yawing the nose in the wrong direction. I think this is tough to see in a model, but in a full size airplane, it is very evident (especially a sailplane). This post is almost as long as "War and Peace"...sorry...