How do I make "stained glass" out of paper and cellophane?

What materials would I need and how do I do it on soft paper? I'm not supposed to do it on an illustration board although that would make it easier. What materials should I use, are there any techniques to this? By soft paper, I don't know what to call it. In my country it's called "Cartolina". It's usually wide and large and is sold in rolls and in different colors. I call it soft because it can be folded, it's not a hard board after all, but it is probably as touch as construction paper (which isn't that tough, I think) only thicker.