Step 1: Start to Tie the Paper...
Paper is well, not nice, it isn't soft or particularly inclined to pleat nicely like cloth is. This makes it a bit harder to "tie" so we have to use a form to tie it around.
Take one of the two sheets of paper and crumple it into a ball.
Yay, we have a tie(ing) form. (this turns out to be a cool and usable sheet of "near" tie dye)