These are NOT my design, I found them on this site http://tomshiro.org/pdart/ but his method of making them is fairly complicated compared to mine.
1. Get a sheet of MAGAZINE paper.
2. With the paper in portrait orientation, start to roll an EXTREMELY NARROW cone from the corner.
3. Keep rolling, doing your best to keep it tight, narrow and sharp.
4. When there is only a small triangle left to roll, stop rolling and lick the triangle. (Glue could also be used )
5. Finish rolling the dart, and lick the spiral seam from the point to the tail. You really need to get it wet or it wont stick.
6. lick the tip of the dart and roll it between you fingers to seal the small hole on the tip.
7. Slide it into your barrel, and get some scisssors to cut the excess off.
8. BEFORE YOU CUT slide the dart out of the barrel slightly, otherwise the tail will be crushed when you cut.
9. Have fun

Please give feedback, this is my first how to and I want to know what you think.
I just had an idea. Seeing as my gun is a ball valve gun, the darts can usually make it out the barrel in one piece. For more powerful guns, you may need to either lower the pressure, glue the dart or cover it in electrical tape.
The pictures are in reverse order, Whoops!