I found instructions to make a pinata on Familyfun.com. We decided to do the same design as the website had. I just used pages out of a phone book instead of newspaper - it was super easy. Messy - yes, but easy.
We did three layers and let each one dry for about an hour in the sun and breeze. Then we used tissue paper to decorate it. I cut a hole in the top and punched holes for yarn to hang it. We think ours is cuter than the one on the website!
So.. in hindsight I would have put more than 3 layers of phone book on our pinata. It wouldn't hang because the yarn just ripped through once candy was inside so I had to hold it while the kids took turns. Yeah. That sounds like a recipe for disaster. I didn't blindfold them for that reason. Each girl only got one turn, and by the last turn the pinata was broken.