I've seen people fold the paper but that left me with funny bends after I cut them. If that bugs you like it bugs me you can do this way.
If you want your pinwheel like if you were putting it on a dowel then you could use round headed pins or tie pegs. Mine are going on a mobile so I didn't bother.
Finished! They really do add a lot to a room.
This is a pretty flexible craft. You can make mobiles out of them like I am doing or secure them to sticks or dowels for party favors or for decorations. They'd be cheery placed in a vase. Anyways I don't know if you even needed a tutorial they're so easy but I thought they were fun!