As the About section describes, Menger sponges are made by dividing cubes into smaller cubes. Since this is not really possible with paper, sponges made from paper must be built by joining together many small units, creating largeer sculptures. (Any number of structures can be built using cubes, but these instructions focus on building sponges.)
Index cards are all that's needed. Oxford lined 3×5 index cards work best, however any other type would work well.

Each cube comprises 6–10 units. Six units are always required to create the basic cubes but depending on a cube's location in a sponge, it may require up to four additional units for covering exposed flaps.
Assembling cubes can be tricky but it gets easier after a few tries. The following steps describe how to create a cube starting with a covering unit.

These steps may sound confusing, the diagram help can help you.
Attaching a prebuilt cube
Building onto an existing cube
If the cube is built correctly, one side should be flat and all other sides should have two exposed flaps hugging a unit. These flaps interlock to create a stable cube.
Attaching cubes to each other is how the sponge is built. Cubes can be attached in multiple ways. They can be built separately and attached as whole cubes, but this can get cumbersome and lead to frustration depending on where the cubes reside in the overall structure.
They can also be assembled on other cubes by following the instructions above. The only difference is that instead of using a covering unit to start, use the exposed flaps of an existing cube. From there, follow the rest of the steps like normal to build additional cubes.
The way the flaps interlock creates a strong connection between the cubes eliminating the need for tape or glue.
Attaching a cover
Covering exposed flaps (or creating paneled sides) is useful for two reasons: it covers the ugly flaps and strengthens the cube. To cover exposed flaps on one side of a cube, use one unit and slide one flap under two exposed flaps just like the first step of assembling another attached cube. Then, fold the other flap of the same unit and slide it under the other side of the exposed flaps on the same side. This can be a little tricky depending on the size of your units.
Tearing index cards into 4 or 16 equal pieces before creating units. Your structure will be much more stable.
Do this by folding along the lines below a few times, then tearing them carefully along the folds.

| Level | Cubes | Units |
|---|---|---|
| 0 | 1 | 12 |
| 1 | 20 | 192 |
| 2 | 400 | 3,456 |
| 3 | 8,000 | 66,048 |
| 4 | 160,000 | 1,296,384 |
| 5 | 3,200,000 | 25,731,072 |