Unless you are already very familiar with the trees in your area, you will need to get a field guide on trees for this activity. Illustrating all the tree species you may encounter is well beyond the scope of a single chapter in an answer book!
It is best to collect the leaves in the spring or early summer before insects and weather have had a chance to damage them, but if you prefer, you can try to collect them in the fall when the colors change.
When you go out collecting, take the field guide with you. It is important to identify the leaves as you collect them, as you can look at more than just the leaves for identification. The bark, environment, buds, and shape of the tree are all important clues to the tree's species. This is especially important if you wish to differentiate trees of the same genus (such as black cherry, pin cherry, choke cherry, etc.).Indeed, proper identification may not be possible from just the leaf.
Collect leaves that are typical for the tree, but remember - smaller leaves are going to be easier to fit onto an 8.5x11 inch sheet of paper.
Press the leaves by placing them on some sort of absorbent paper - newspaper, paper towels, tissues, etc. Then place these under a stack of books or in a leaf press. After two weeks, the leaves should be flattened, dried, and well-preserved. Evergreens such as spruce and fir are difficult to preserve this way as the needles will fall off. The more ambitious may wish to encase the leaves in epoxy, as this preserves the color and eliminates the need for pressing (meaning the leaves also retain their three dimensional features).
Once the leaves have been pressed, you can glue, tape, or laminate them onto notebook paper. Use loose-leaf if you wish to rearrange them later. You may also place the pressed leaves between two sheets of wax paper, cover with a towel, and iron.