I had this problem too and this is the way I added my vertical banners on the sidebars.
One option is to create your own module which is a bit more complicated. This option will allow you to put it wherever you want withing the sidebar.
An easier option but more restrictive is to edit the left.tpl and right.tpl.
Example of the left sidebar.
<div id="left-panel" class="left-panel">
{$_HOOK_LEFT_}
</div>
Add your ad code after the div tag or above it depending where you want your add to be displayed: on top or on the bottom of the sidebar. If you want to style it with CSS create a new div tag and give it a unique ID and put the ad withing that div tag.
As I said this is more restrictive because you cannot place the ad banner between the other modules, only on top or on the bottom.
