Place the coin on top of the paper. Fold the paper in half over the coin. When you fold, make sure to not fold the paper completely in half. Instead, leave one half about a 1/4-inch larger than the other half.
Fold all of the ends of the paper over to make a little pocket around the coin. Press the paper onto the coin as you go so that you can see the indentions from the coin.
Fold the longer edge over backwards so that it actually doesn't overlap the paper and the coin, but instead leaves one open end to the paper surrounding the coin. This is key to performing your trick. Make it appear as if you have sealed the coin in the paper completely by flipping the coin around as you fold.
Allow an audience member to touch the coin in the packet of paper to verify that it is inside.
Say that you need to get out your magic wand to perform the trick. Before reaching into your pocket, shift hands and allow the coin to fall into your other hand. Drop the coin in your pocket as you pull out your magic wand.
Tap the "coin" three times to make it disappear and then tear the paper up to prove that it's gone.