Stick two sheets side by side. Bend the first third of the set without bending the gum. Fold the gummed side and stick it. Fold and stick the small triangle at the top. Fill the cone with two cigarettes and pinch the empty end of the paper. 
Make a large filter (2 or 3 inches) and wrap it with a sheet of paper. Fold a sheet of paper into a band.Insert the filter in the collage.
Close with the band taking care not to leave any gaps.