You will need 6 pieces of paper. Fan them out all pretty-like like this.
Pick one color.
Fold it in half horizontally and vertically
Now fold the edges to one of the center creases
And fold the other edges to the other center crease
Dig in there and pull the corners out (see the pin wheel instructions for further explaination)
Lift triangular flaps up and squish them flat into a square. Like the picture.
Yes, like that
Do that to all of them
To all of them!
Then undo it
Now tuck two opposite corners into the pockets
Remember those small creases I made you make? Now fold those creases IN
Now fold the corner
If it's one of the untucked corners, then it should look like this
Fold similarly for all 4 corners
Now you have 4 "inner" corners that you will now fold to the center
Do it for all of them
So now it should look like this. Do this for all 6 sheets of paper
Thingamajig party! Start linking them together in a cube
The long parts should fit snugly in the pocket parts.
And it will look like this.