Disclaimer - This entry in no way wishes to endorse the smoking of tobacco.
Having said that...
There are many ways of rolling a cigarette, but one rule of thumb is that the less paper involved in the construction, the better the taste. This method involves keeping the amount of paper to an absolute minimum.
Rolling papers - Rolling papers are made of rice or hemp fibre. Good brands are RizLa+ and Smoking Slim and they come in different thicknesses. (With RizLa+, blue is light, green is dark. They also do a brown liquorice paper.)
One normal filter paperstrip - If you travel to Amsterdam, you can buy these in pads of about 60 papers/small strips of card paper. If you can't get any, use any plain paper card (or of course, the cover of your rolling paper booklet) and tear or cut a strip of about 5cm long and 1cm wide.
Tobacco - Tobacco is, of course, essential for whichever type of cigarette you might wish to roll. Without tobacco, the exercise is pointless.
Dry hands - But not too dry.
The Seven Steps
One - Fixing a Filter Tip
Take the strip of card paper, and tear a small piece off a corner, in the same oblong shape as the paper. The piece is about 1cm long, 5mm wide. There's now a smaller strip at the end of the original strip, and you fold that back and front, like the airbag of an accordion. You keep folding until about a quarter of the whole strip of paper is folded back and front, starting at the narrower end. Press that tiny accordion flat, and roll the not-folded end of the strip all the way around it fairly tightly. You get a cylindrical shape of about 5mm in diameter, with an accordion-fold grate inside it. That's your filter.
Alternatively, you could just buy the white 'spongy' filter tips that are sold in boxes by companies such as RizLa+.
Two - Preparing the Rolling Paper
You're going to roll this cigarette using the inside-out method, it is hard to master but it makes all the difference. Take the long, thin rolling paper and look at it. It's creased along the length in the middle, and it has a sticky strip along the length at one edge. You ignore the way the paper was originally folded and you fold it sharply along the same line through the middle, but in exactly the other direction, inverting the crease. Now, the sticky strip faces outward instead of inwards. Put down the paper, making sure that the sticky strip faces away from you. You may want to fold it flat on the table, not erasing the crease along the middle but opening it up a little.
Three - Filling the Cigarette
Put the filter (the one you made, not the cigarette filter) close to (but not quite at the edge of) one end of the rolling paper, making sure the open end (without the small accordion grate) of the filter faces the end of the rolling paper. You see, the tiny grate inside the filter acts as a barrier for the tobacco, so it doesn't slip through the filter. The open end allows for a smooth draw. Roll the rolling paper back and forth around the filter a few times so that the two 'get used to each other'.
Put the paper with the filter back on the table, and fold open the paper, not letting the filter slip out. With two fingers, hold the filterless end of the rolling paper open, and with your other hand, add the tobacco. Make an even spread of the tobacco over the rolling paper, leaving no space between the filter. Pack the tobacco against the grate-end of the filter. This will make your cigarette solid and well-shaped. The amount of tobacco should be ever so gradually growing towards the open end (where your two fingers are) of the rolling paper, so your cigarette will have a slight conical shape. Leave about 1cm length of the open end empty, because the length of the tobacco-line will grow as you actually close and roll the cigarette.
Four - Rolling the cigarette
On your table in front of you is a rolling paper with a filter at one and, a short length of empty paper at the other, and a nice, densely packed line of tobacco in between. Now comes the trickiest part - the rolling.
Pick the rolling paper with everything in it up with both hands, each end between your thumb and middle finger. Let both ends rest on your ring fingers, and relax your grip a little. Place your index fingers between the folds of the rolling paper, holding them open.
Now, slide your fingers towards the middle of the cigarette, making a rolling movement. When in the middle, slide back towards the ends. Same rolling movement. Notice the length of the body of tobacco grows as you slide your fingers out, so when you reach the ends again, push the tobacco back in with your index finger. If you put in too much, the tobacco will spill over the edge of the paper, take it out and use again for another time.
Do this until your cigarette starts to take shape. The grate inside the filter should always be tightly hugging the tobacco. The tobacco diameter at the filter end of the rolling paper should be the same as the diameter of the filter. The filter should always be close, but not quite at the edge of its end of the paper.
When the shape looks good, change your grip. Now you should have both ends resting on your middle fingers, holding them between your thumbs and index fingers. If you press your thumbs and index fingers together, the rolling paper closes. Relax your grip a little, then slide both hands towards the middle and out again. Now a little tobacco, no longer held in by your index finger in the earlier grip, may spill over. You'll use the cigarette filter to stuff it back in later.
By now the shape should be good, and the feel of the cigarette should be solid, like a normal filter cigarette. The paper is rolled around the whole thing tightly, and the filter is packed neatly against the tobacco. The cigarette is slightly conical, and the long edges of the rolling paper are brushing against each other every time you roll from the ends to the middle and back.
Five - the Licking
This part is almost as tricky as the rolling, but good rolling makes for easier licking. You should be holding your cigarette with the sticky strip along the length of the rolling paper facing out, not in, and away from you. Now, roll the cigarette so that the paper edge with the sticky strip gets smaller, and the side facing you grows. When the sticky side is small enough, roll back the other way, but (and this is tough) make sure that the sticky strip is rolled under the fold facing you. Learn to do this in one smooth roll, because once you start fidgeting to get the sticky strip under, it'll all go bad. This will probably go wrong a couple of times. It doesn't matter, so don't sweat. Really, try not to sweat, because sweaty hands are terrible for rolling.
Once you finally get the fold with the sticky strip rolled neatly under the fold facing you, roll it over further, all the way until you can see the sticky strip re-appearing. You'll see it through the outer layer of paper, because the paper is so thin. And here's the beauty of rolling inside out: you can wet the sticky strip from without, licking in one smooth lick from filter to open end, your saliva seeping through the outer layer, wetting and gluing the sticky strip to the outer layer simultaneously. You don't need a lot of saliva, just make sure the entire length of sticky is taken care of.
Six - Tearing off Excess Paper
Rolling paper is of course necessary, but it makes the smoke taste bad, and can give you a headache. The reason why the inside-out method is cherished by many who know it, is not because it's so fiendishly difficult, but because it allows you to keep the amount of paper used to a minimum. The outer layer is wet, right along the line of the sticky strip, so the paper is tender there. Carefully, or in one firm stroke, tear off the strip of excess paper that is not rolled around the cigarette.
Almost done... You kept the filter close to, but not quite at the edge of the rolling paper all the way through the process, so there's a little excess paper there. Fold it inside the filter cylinder, making the cigarette sturdier.
At the other end, use the cigarette filter in the opening to stuff spilling flakes back in, or pack the tobacco a bit denser. When that is done, take the excess paper at the open end, and using your thumb and index finger, close that end firmly, then twist tightly to close to take the cigarette with you easily, or for immediate smoking, twist and then bite it off.
Hopefully, the above steps have brought you the best cigarette you have ever smoked in your life, with a smooth draw and a good clean taste. The best advice to give you if it won't work out the way you want it is to take your time, and try every step a few times until it's completed all the way, because each step carried out well eases the way for the next.
'Wise-up to Roll-ups'
It is worth noting that according to recent research there is emerging evidence that roll-ups may actually be more harmful and addicitive than manufactured cigarettes. The NHS has launched a 'Wise-up to Roll-ups' campaign in the South West of England targeting people who smoke roll-ups, providing factual information that debunks some of the myths associated with the smoking of hand-rolling tobacco.