Completly fold the paper and press strongly on it to make a nice folding. And that's it. You can experiment with other shapes and share them here...
I found a picture on the Internet showing a sculpture made of a single piece of paper, folded a certain way in order to give it volume. There is no glue at all... Here is the work I've made from this picture.
Step 1: Creating the design
I draw the sheme under a very common piece of software. I attached the drawing in full size. You simply can print it on a normal piece of paper or draw it on cupboard.