Step 1: Supplies
Art supply stores (especially online versions) often carry wide rolls of paper. The ideal paper is very strong but very thin. Cotton content is usually a good thing for strength. Depending on what you're making transparency, prints or textures can enhance your design, so choose carefully.
Teacher supply stores often have big rolls of paper used for covering bulletin boards and similar applications. These can be cost effective, but do be aware that they will often be prone to fading and not made to last.
Restaurant supply stores carry butcher paper, and that can be a great material, too.
I used a 48 inch wide black paper made by Spectra Art: http://www.dickblick.com/products/spectra-artkraft-duo-finish-art-paper/