Cut out the pieces. I recommend using a good quality paper but not a stiff cardstock as it will be more difficult to weave together if the cardstock is too stiff.
Fold the pieces in half.
Take one folded piece in your hand. Make sure there is a clean cut between the two halves. I will be referring to these two halves as "strips". Hold the first folded piece sideways in your had so the rounded edge is to the left and the fold is to the right.
Pick up the second folded piece and prepare to weave. Not only do you need to go over and under but you need to go inside and outside when you weave. Hopefully this will make more sense in a minute.
Hold the second piece in your hand so the rounded edge is at the top (away from you) and the folded edge is a the bottom (close to you). Starting with the left strip of the second folded piece. Slip the top strip of the horizontal folded piece inside the left strip of the vertical folded piece. Slide the folded piece all the way to the inside.
No slide the right strip on the vertical folded piece into the same top strip of the horizontal folded strip.
Now ease the two folded pieces together so that the two rounded piece are together and the square edges are overlapping. You should see the heart shape now. But the pocket isn't quite there yet...
Starting with the outside corner (the bottom strip on the horizontal heart, the right strip of the vertical heart), put the bottom strip inside the right strip. (I turned the heart upside down in my hand to take the picture.)
We're almost there... Open the pocket and you'll see that the one last "free" strip is keeping the pocket from opening. Slowly ease that strip inside the pocket.
Gently pull it through the slit. It will catch at the fold. Then continue pulling until it's all the way inside.
TaDa! you have a woven heart pocket. :o)