I've made these for my daughter in the past. What I've done in the past is this:
1) Print out all the activity sheets
2) Add a front and back cover, printed on cardstock
3) Staple along the left edge of the pages, close to the edge.
4) Cut a strip of cardstock paper that is the same length of the book and wide enough to wrap around the edge and cover the staples on both sides.
5) Cover one side of the cardstock strip with glue (glue stick, super tacky glue, etc)
6) Wrap strip of paper glue-side-down over the edge of the book with the staples.
When complete, it looks like a book with a different color edge binding (I always use pink for DD). I usually use binder clips to hold it down tight to the book while the glue dries.
This has worked great for me in the past, and it's free, since it's stuff I always have lying around anyway. The only real reason I cover the staples is so they don't get unbent and hurt someone.
Amanda