The paper clips I use are really large... probably about 3 inches long. I found them at WalMart in the office supply section.
I've made several of these and although I don't claim to be an expert on them, this method does seem to work for me.
You may have seen my bottle cap crafting tutorial on this blog, or my website, www.EweNmePrintables.com. You can refer to that on how to make the bottle cap part of this project.
After the front side of the bottle cap is completely dry, I add some E-6000 to the back of the bottlecap and attach the paper clip. So it looks something like this...
Then I add a couple of layers of scrapbook paper I've punched out with a 1 inch circle punch to cover up the "mess". I used a white glue for this. You could probably modpodge or lacquer over the paper to protect it. However, I don't, and it seems to hold up fine.
I hope this helps answer some questions on how they're made. Here are some of the finished bookmarks I've made in the past.
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