I use all kinds of paper, really. You can vary the thickness by layering sheets of thinner paper or just by using thicker paper. For this figure I used Manilla folders for the skin, post-it notes for the blues in the armor and sword, and regular white printer paper for the shiny white bits.
Joints are a bit trickier, but there's a YouTube video I found that first showed me how to make the joints. I've since learned many more on my own, but here's the vid that got me started: [link]
I started to, but his legs are really skinny. If I wanted to make his legs move I'd really have to work on a new joint system. Or I could just use a method I already know. Either way the groin/legs won't look picture perfect from Minecraft. Then again, neither does Steve. Maybe I'll finish him.