I'll show you a really easy way to do it:

bitaddress.org

1. Right click on the page and click 'save as' and save it to your desktop.

2. Close the browser and disconnect your computer from the internet.

3. Open the page you saved to your desktop in your browser.

4. Move the mouse around to generate entropy until it displays a private key.

5. Print the page and restart the computer.

6. The paper has QR codes for your deposit address and private key which is nice, but for long term storage you should engrave the key on metal, because paper doesn't stand up to fire/water damage.

I keep the half of the paper with the deposit address QR code for easy deposits, but burn the part with the private key on it. You can engrave the private key on a credit card sheet of metal and hide it away. It will last forever. Generational wealth.