1. Make a new file. Go to File>New and make a 200 x 200 pixels with a 300 resolution.




2. Make a new layer. Click the Create a new Layer button at the bottom part of the Layer palette. Then, select the Custom Shape Tool  . The custom shape setting tab is located at the top of the screen. Select the Shape Layers. Click the custom shape picker and choose Objects or you can choose All. Choose No Style and you can choose your own color.





3. Drag now you mouse over the screen and make your desired size of the clip. And as you can see there is a light green line around the clip. That is a path. Hide it by pressing CTRL+H or you can rasterize the layer by right click and choose Rasterize Layer.





4. Now, lets add style to the clip. Click the Add Layer Style button at the bottom of the Layer Palette and choose Bevel and Emboss. Use the default setting for Bevel and Emboss.




5. Add shadow. Lower the shadow opacity to 25.





6. There it is! A paper clip. Remember: You must save your clip file in .png form.

7. Just duplicate the layer by CTRL+J if you want to have more clips and you can change its color by the  adjustments in Image>Adjustments>Hue/Saturation. I have an example with the use of this clip in the polaroid pictures.