First, take a single sheet of paper, then try here.
As the other answers suggest, it might help if you clarified what you mean by "construct a UFO". Model? Flying model? Stage set? Of what design? For what purpose?
IMPOSSIBLE- If you've made it you'll always be able to identify it!
There have been some advances in memory loss technology. My favorite involves a frying pan blow to the head. Let the subject wake up, and if he still remembers, repeat the process. Once the subject has no memory, cease blows. Unfortunetely, some of the subjects show regression after a few days and need further blows to the head.
You can't. If you try to do it, you'll hopefully know what you are doing, so it'll become IFO, at least for you.
Toy or Real?
I wonder what that balloon boy's dad did with his thing?
First, and listen carefully, for this is important: start with a fresh cow. I cannot emphasize this enough.
Duct tape and popcicle sticks
First, find an object. Secondly, throw it into the air so that it appears to be flying. Finally, squint so that it is unidentifiable. Your very own UFO!
First, don't tell anyone what you're doing. Secondly, invent a flying object that performs on it's own in ways that no conventional aircraft can. Finally, go Men in Black on yourself, and forget that you put together such a device. Your very own UFO!