You could do this with a whole range of materials, such as gum wrapper, paper or even magazine pages cut in to strips.
Take a sweet or gum wrapper.
Fold the wrapper in half, width ways, and then unfold it again.
Fold the edges in, so that they meet in the middle.
Fold the wrapper in half again, with the edges tucked in, width ways and then unfold.
Repeat the previous steps and fold the edges in to the middle, width ways.
Fold it in half length ways to create a crease in the middle.
Now fold the edges in, length ways, so that they meet at the crease in the middle.
You should now have a little V shape.
Make a few of these.
Slip the two feet of the V through the holes in another V's legs.
Take a third V and continue this along.
Continue this with more and more folded wrappers, keep an eye on the pattern that is being formed so that you know which side to place the next folded wrapper in at.
Make a strip long enough to fit around your wrist, you could make it really big and then you could simply wear it like a bangle.
Pierce holes through the folded wrappers at both ends of the strip.
Slip a jump ring and jewellery clasp through one end.
Slip two more jump rings through the other end and you're done.