For book binding, here is a tutorial for the simplest method. It's in french but you only really need to look at the pictures (ignore the first one to make a tiny book, print your pdf on A3 for A4 book or A4 for A5 book) :
The only important stuff is the stitching and there is a clear schema. That's what I used. For the thread I got some wax thread (for leather I think) that is thick enough (but not too much) from amazon ( and the fr amazon ). These are just example, I got them because I wanted brightly colored ones. I also bought a couple big needles for leather to accomodate the thread. There are some curved ones that are very useful.
For the glue, I used regular wood glue, it works fine and is not too rigid. I used the method presented above, that is I glued a piece of cloth to reinforce the back and the join between the paper and the cover. Another, more classical, method is to use ribbons or rope :
https://www.ibookbinding.com/blog/sewing-the-book/ (in english but, again, just look at the sewing pictures to understand)
For the cover, you'll need thick carton or thin wood and something to decorate it. Beware you need to put glue on both side if you want to avoid warping. Or use thick wood I guess.
There is also an even simpler stitching, the japanese one, that doesn't need any other explanation than a simple photo of it. I'll post some when I get home.
To print your pdf, you must use the booklet mode : 2 pages per side, on both side of the sheet. And you have to print your pdf in several batches, one per "signature" (the folds you stitch together). To print an A4 book, I used 5 A3 sheets per signature (more than 6 looks very thick), so I printed a booklet for pages 1-20, then 21-40, etc... You need the booklet mode, because you need to print page 1 and 20 on recto, then 2 and 19 on verso of first sheet, etc.. so when you pile up the 5 sheets and fold them, the pages are in order. The booklet mode take care of this. Make some tests first, you'll get it.
Adjust the number of pages in your last ones so you don't end up with a single sheet on the last signature.