Depends how you want to bind them and how you want to read them. Simplest way is to print on standard size paper, one side, which you can print with any home printer. Then bind with a staple or so like they do documents in offices.
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I've done this before. I took advantage of a work laser printer to print a bunch of books for free.
To save on paper (and get a manageable hand-held size), print 4 pages per A4 paper. Leave about 2 cm margin per page for binding. Then use an office paper cutter to cut the pages carefully.
Buy some wood glue or fish glue and some good string.
Use the glue to stick the pages together, using about 1 cm from the margins. Add a couple blank pages at the top and bottom. Place under something heavy and leave overnight.
Drill 4 holes per page. You can use a low-power electric drill for fast results.
Cover with some good quality hard paper or mixed plastic-paper. Glue the cover to the spine and on the outer blank pages. You can use a larger cover and fold its edges inwards, attaching them to the inner blank pages, to make it more resistant to wear and tear. Make holes on the cover to align with the previous holes.
Pass the string through the holes and lace the whole thing together to strengthen the spine.
Voila, you've got a book that will survive for years to come.
Edit: ideal size for this method is volumes of around 200-300 pages.
I'm looking into this as well.
How much progress have you made? Are you trying to make zines like I am?
For zines the easiest way is to use a sewing machine. You fold the sheet of paper in half and then sew down the fold. I have sewn 10 sheets of paper this way (which gaves you 40 half-pages), but the limit really depends on how sharp the needle and how strong the sewing machine.
I'm planning on doing something like this as well but the problem is I have no idea for to typeset for something like this. Supposing I have some text I want to print, each paper page will have two document pages on one side, and both sides will be printed. But the ordeing of the pages changes to something for which I haven't worked out the math. I bet there is already software that can help with.
You need desktop publishing software to format/set the pages.
Scribus is a popular and free desktop publishing software application that can do what you are asking.
I was able to do this by first generating a regular PDF using a pipeline of shenanigans including article-extractor, pandoc, tectonic. Then used a script called pdfbook2 that comes included with texlive.
That seems like a lot of work. I used Scribus to set zines and also print badges.
I'll keep that in mind.