Gather your supplies.
You can use as many toilet rolls as you want. The more rolls, the bigger the structure.

(Sorry for the messy background)

Start by gluing some toilet rolls together to form the base.
You can use clothes pins, like I did, to keep them pressed together.

I chose to have the middle one stick out a bit.

You can secure the rolls with some tape if you think that the glue won't withstand your kitties furious attempts to get to the goods.

Add another layer of rolls. (Here you can see the tape I used for reinforcement)

Be creative in how you place them.

And another layer...

For the top layer I decided to put some rolls sideways. This turned out to be a good idea because the last treat in the topmost roll did not come out when Lina turned the whole thing over.

To weigh down the toy I bought some new shoes and took the lid of the box they came in. (Yes, I needed to shoes too, not just the box) :p
I first covered it with a piece of paper to hide the brand.

Then put on the toilet roll piramid and glued it together.
Optional: use some tape to secure it further.

You can of course paint or otherwise embellish your kitty toy. I chose not to.

Laugh about your bored cat that has already taken over the shoe box itself.

Here's the piramid with some treats and an acorn in it.

Put on the floor and watch your kitties explore and enjoy the challenge.

The shoe box lid makes sure the whole thing can't be tipped over, but just slides across the floor.