I use white glue with good results... like most things, too much is bad.
I cut the paper about double the size of the fin with an extra inch or so all the way around. I spread a "drop" of glue about 1/4-1/2 inch in diameter on half the paper, and press the fin down onto it firmly, with the LEADING EDGE toward the CENTER OF THE PAPER. Once the fin is firmly pressed down, I flip it over and using a round object like a Sharpie pen, I gently but firmly 'burnish' the paper down onto the fin, working the glue from the center out to the edges. Then I flip it, apply a similar drop of glue to the other half of the paper, spread it thin, and fold the paper over the leading edge of the fin, pull it tight, and work the excess glue back from the leading edge to the outer edges, and set it aside to dry. I do this AFTER I've sanded the fins to the airfoil I want. Just burnish the paper down carefully across the tapered trailing edge and glue it to itself behind the trailing edge, and leave the paper hanging over the root edge, and set it aside to dry.
This takes like a minute to two per fin, so it's VERY easy and quick. Let the fins dry a couple hours at least, overnight is best, and then using the hobby knife, carefully cut the excess paper away from the fin, about 1/8 inch or so from the edge of the fin. Then you can shave the paper off the fin edge and shave any excess glue off the edge of the fin, and they're ready to glue on the rocket. Works like a champ, and all you need is Elmer's white glue and regular printer paper.
Folding and gluing the paper over the leading edge ENSURES that the paper won't peel off the fin from the leading edge, which receives the most punishment in flight anyway ripping through the air. The only sanding you MIGHT need to do is just a light brush along the root edge to true everything up pretty for gluing the fin on, but most of the time it's not necessary, if you shave the paper off carefully.
Works like a champ! Good luck! OL JR