You can easily spend $20 to $50 on a watercolor block. Not being a particularly picky soul, I decided to make one out of some plain old bond paper and some padding compound.
Step 1: Supplies
I picked up a quart of this stuff about 20 years ago. It turned out to be pretty much a lifetime supply.
padding compound ($10 or so for a quart) (lifetime supply)
sheets of paper of your choice. I like plain old copier paper, but something heavier, on the order of letterhead quality paper might be better suited to watercolors. I'm not that particular.
ream of bond paper ($4) (makes about 10 watercolor blocks depending on how thick you make them)
wood or cardboard cut to precisely the dimensions of your paper.