I've found tracing paper to work best for me and nitrating it seems too much effort for no return. Two identical size sheets of the stuff, one nitrated and the other not, burn at the same rate so I don't waste the time soaking the stuff anymore.
I cut the paper to the same dimensions as the rolling papers (using a scrap-booking/photo trimmer) and place my dowrod upright in the center of the paper, pulling both sides of the paper up and doing a 'giftwrap' fold to form a cup... gluing the sides to form a 'cupped' ended cylinder.
I make about 50 in one go, then load 'em and top 'em with a round ball. The extra top paper (above the ball) is twisted shut. As an extra touch, I seal the completed round with 'Liquid Bandage'.