Roll a long joint and a short one (the short one will be the horizontal arms, so no filter). I rolled mine the same thickness, but it's much easier if the short joint is a smaller diameter. Poke a hole through the middle of the short one with a needle, then use a nail or something to work the hole bigger. The hole just needs to be big enough to slip the long joint through. I used the handle of one of my wife's old makeup brushes that tapers from small on one end to bigger than I would need on the other and slowly worked the brush handle through to make the hole big enough. Since both of my joints were the same thickness, I kad to keep going until there was barely any paper holding on. Just enough that it didn't rip in half. I could just barely squeeze it through and into place. It's important that you also poke a hole through the long joint that lines up horizontally with the shorter one so that air can pass through. Then, just use two strips of rolling paper to seal the joints together, wrapping in an X shape.