I tend to weave with fine yarns, and when I do, I weave with an end-feed shuttle and pirns. Yet I still find using paper quills invaluable.
Winding a paper quill:
I use a Swedish bobbin winder to wind the paper quills, but any winder should do. First wind the piece of paper tightly around the pirn of the bobbin winder (I start the paper behind the pirn and wind it towards me - see picture). After you get it wound on about half way, stick the end of the yarn in there and keep winding. Once the paper is fully wound on, Start cranking and wind with firm tension on the yarn, forming little bumps on each end and then filling in the middle.
The Bad and the Really, Really Ugly:
Okay, so it doesn't always work perfectly. Tip #3 is this: when you wind the paper quill, do NOT wind too close to the ends of the quill. It might look okay at first, but trust me, it will end up looking like this:
I have been happily weaving since my son was born in 1988.