A watercolor block is simply a pad of watercolor paper that is bound on all four sides. A watercolor block lets you paint directly in watercolor onto the pad without having to bother with pre-wetting and pre-stretching and taping your paper and all that hassle. If you didn't do those things, the wet paper would warp and deform as it dried, making it very difficult to work with. The watercolor block holds the paper in place while the paint dries, minimizing warpage.
You can easily spend $20 to $50 on a watercolor block. Not being a particularly picky soul, I decided to make one out of some plain old bond paper and some padding compound.
Step 1: supplies
The main ingredient is something called padding compound. It has a consistency about like Elmer's glue, but then dries into the rubbery elastic adhesive that you find on typical pads of paper. It binds the pages together in a way that they can be torn off the pad one page at a time.
I picked up a quart of this stuff about 20 years ago. It turned out to be pretty much a lifetime supply.
padding compound ($10 or so for a quart) (lifetime supply)
sheets of paper of your choice. I like plain old copier paper, but something heavier, on the order of letterhead quality paper might be better suited to watercolors. I'm not that particular.
ream of bond paper ($4) (makes about 10 watercolor blocks depending on how thick you make them)
wood or cardboard cut to precisely the dimensions of your paper.