This can be made in an afternoon. The case I made has been pretty durable and holds 12 CDs.

Supplies

12 or more sheets of paper
glue stick
Mod Podge
1 large, thicker, more durable piece of paper
decorative paper scraps (optional)
scissors
one CD
string or yarn
one needle that the string or yarn fits through
6 thicker strips of paper, cut 1.5 inches wide
masking tape
permanent marker (optional)

Step 1: Fold Paper Around CD

Place the CD in the center of a sheet of paper. Fold in the sides of the paper the long way, leaving space so that the there's just enough room in the center for the CD to fit. Fold one side of the paper over the CD so that part of the disk still shows over of the fold.

Step 2: Trim Paper CD Holder

Just above the CD, draw a straight line in pencil. Cut along the line. The height of the folded and cut paper will be the height of the CD case.

Step 3: Glue Paper Case Together

Remove the CD and unfold the paper horizontally.
On the top half of the unfolded paper, unfold both vertical folds and apply glue to the underside of them as pictured (DO NOT apply glue to the bottom half of the unfolded paper).
Fold the sides back, gluing them to the back of the CD case.
On the bottom half of the unfolded paper, apply glue to both vertically folded sides (DO NOT unfold and glue underneath the bottom sides)
Fold the bottom half of the paper back up, gluing the top and bottom halves together.

The CD should now fit into this paper slot!

Step 4: Glue Paper Strip to Case

Take one of the thick paper strips and glue half of it to the back of the paper CD case (as pictured). Cut the strip so that is the same height as the paper case. Turn the case over and fold the strip of paper inward.

Step 5: Glue Another CD Case to Back of 1st

Repeat steps 1 - 3 to create another paper CD case. Make sure the second case is the same height as the first and DO NOT add a paper strip to it.

Apply glue to the back of the second case and glue it to the back of the first. You should now have a double sided paper CD case.

Step 6: Make More Paper Cases

Now make 5 more of the double-sided CD cases by repeating steps 1-5.

Once you have 6 double-side cases total, stack them on top of each other and glue the paper strips together. It should look something like the image above (but with 6 pages instead of 4).

Step 7: Make the Cover

Now get the thicker, more durable large paper. Cut out a rectangle that is at least as long as the width of two of the paper CD cases + a couple inches more. The height should be just a little taller than the other CD cases (a cm or two taller).

Fold the cut-out rectangle around the other CD cases so it looks like the image above.

Step 8: Make Holes in the Spine

Put the cover around the CD cases, with the paper strips that the connect the cases together folded so that they are pressed against the spine of the cover.

Take your needle and poke 3 holes into the spine (through the cover and all of the paper strips).

The image above does not show the cover, but you should be poking the holes through it as well.

Step 9: Sew the Spine Together

Take your yarn or string and thread the needle.

Begin by sewing through the center hole from the outside of the case. Following the diagram, sew through the top hole next, then go down to the bottom hole and sew through that. Sew through the center hole again, this time from the inside of the case.

Tie the two loose strings together a few times so they don't come loose.

Lastly, take some masking tape and tape over the spine. This will keep the loose string out of the way.

Step 10: Decorate It!

I used patterned paper for my book, but you can use any other paper or paint for this step.

For a paper-decorated cover, apply Mod Podge to the plain cover to glue it to the case (or just glue, but Mod Podge worked really well for this). I decorated the insides of the cover as well.

Once it completely dries, for some durability I added another coat of Mod Podge (matte) over the entire outside of the cover. It added a nice texture to it.

I also used a permanent marker to decorate the inside.