Pepakura is a shareware program developed by a Japanese company named Tamasoft. This program allows you to take a digital 3D model, unfold it, and print it onto cardstock so you can assemble it as a tangible object in meatspace. It's essentially a poor man's rapid prototyping system.
To download the program, go to http://www.tamasoft.co.jp/pepakura-en/
Once you've downloaded it, register your copy. It's a good idea to keep encouraging the developers to continue improving the program. Besides, at the time of this writing, it only costs $38 you cheap bastard.
After installing Pepakura you need to get your digital 3D models. With a bit of Googling, you can find models available for all sorts of things. I found the models I used while looking around on Obscurus Crusade
, a Warhammer 40,000 costuming forum.
Now that you have your digital files squared away, here's what you'll need to build them in paper:
Cardstock paper. At least a ream. Possibly two. The heaviest thickness you can get at your local office supply store.
Cyanoacrylate adhesive (brand names include Insta-cure or Zap-a-Gap)
CA accelerator (aka "Zip Kicker" or "Insta-Set")
Scissors (don't run with them)
A sharp hobby knife (don't run with that either)
A cutting board (this you can run with. Run your little heart out.)
Music or movies to play while you're working so you don't go insane from the tedium of cutting and gluing.
Print out the pep models. Make sure to turn on the edge ID settings so you'll have little numbers along each edge to match up with their counterparts along the way.
Use the scissors to cut out each piece as you need it. This will make it easier to keep track of the pieces so you don't have to go sifting through a pile of parts to find the one you need like some sort of jigsaw puzzle turned into a psychological torture device. If you have your computer nearby, it's a good idea to keep the program open so you can use the "check corresponding face" function to identify and locate each piece as you're building them rather than just poring over the printed sheets looking for matching edge ID numbers.
Once the pieces are cut out, use the hobby knife to score the lines where the creases will be. Then pre-fold each crease.
Use the CA glue and accelerator to bond the parts together. Make sure to keep everything properly aligned while you are working. The numbers on each seam should line up opposite each other. If you get the edges a bit off, each mistake will compound and make each following mistake a bigger problem. It's a good idea to start with some of the smaller pieces to get the hang of how the process works before you waste a bunch of time and materials by learning on a large piece.
If you can shanghai a friend into helping, you can set up a workflow that will really speed up the process. When I have help, I do the folding and gluing and leave the cutting and scoring to the other guy. Here's a quick timelapse video showing the construction of an arm model as well as a kneecap: