Step 1: Materials
The best shape is a rectangle much longer than wide. I generally use the off-cut from a piece of A4 trimmed square for some other project.
Step 2: Fold ...
Step 3: ... and Roll
This will impart a curl to the paper that will help you make the final shape.
Bring the two ends together, and slot them together. If you are right-handed, and holding the folded edge to the top, slot the end in your right hand inside the folds of the end in your left hand.
If you are left-handed, slot the end in your left hand ... oh, you get the idea. It's a lot easier to do than say.
Squeeze and curl the UFO to make as neat a cylinder as possible. You may sometimes need a small patch of stickytape to hold it together, but practice makes perfect.
Step 4: Throw!
Put the UFO in your open hand, folded edge upwards.
Move your hand to the region of your hip, and take up a stance like a gunfighter in an old black and white movie.
The UFO needs two things to fly; forward velocity and spin.
To provide the velocity: move your hand forwards sharply, in a roughly horizontal straight line.
To provide the spin: as you let go, lift your thumb first, then roll your hand away from your body, giving a final flick with the fingers as they lose contact with the paper.
Step 5: Variations on the Theme
A longer, narrower UFO will fly faster and straighter than a shorter, wider UFO, but the drifting flight of the short, wide UFO, which seems to move too slowly to stay in the air, is much more impressive.
The UFO is especially impressive if the launch is unseen. Make your UFO in secret, practice alone in your cubicle, and then shoot it across a crowded office from behind a door or filing cabinet.
Be competetive with your UFOs - lay an empty waste paper basket on its side as a target. Challenge colleagues to use fast narrow UFOs to knock slow wide ones out of the air.
Hide the evidence.
Most bosses aren't keen on finding evidence of their workers playing, so wear your unused UFOs around your wrist. When the boss asks what it is, tell him it's the latest thing in stationary; the wearable office. You could even make some notes on it, just to convince him.