Step 1: Materials
These are all the things you will need. I will include my list as well as some substitutes that I've seen.
Paper towels (I used shop towels, but I've seen everything from cardboard to cloth)
Lemon juice (salt or vinegar works too)
Step 2: Sand pennies
Take the sand paper and sand one side of each penny down til the copper is off that side and the zinc core is showing. Best method is to use your finger to move the penny on the sandpaper as far as I know. (Technically defacing currency is a federal offense or something like that, but I'm sure you won't get arrested over 6 cents. Besides, it's recycling so shut up.)
Step 3: Make lemon juice solution
Step 4: Soak paper towels
Cut your paper towels or whatever you use into pieces about the size of a penny, you don't want the pieces to touch. I'd just soak them for about 5-10 minutes.