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You can use the bag without stapling it by simply holding the junction with your nondominant hand as you're using it. If you want to ensure that the paper stays folded though, use a stapler to put a few staples over the area where it overlaps so that it doesn't unfold. You can make multiple piping bags ahead of time if you need to use multiple bags while you're baking or cooking. Hold the bag on its side and start scooping sauce or icing into the middle of the bag. If the material that you're adding is particularly thin, pinch the opening at the bottom of your cone to keep it closed as you add your icing or sauce. You can't really add a nozzle to the tip of your paper pastry bag. It's kind of unwieldy as it is, and the seal won't be airtight around the nozzle.
Staple the junction where the corner folds over your sheet if you want. Fill the bag with icing, sauce, or frosting by scooping it in with a spoon.