I used to do stuff like that! Nothing as complex and professional-looking as the art in the video, but it was still pretty cool! (Even though I wasn't allowed to torch it when I was done!

)
Best paper to use is glossy photo paper, that way the paint doesn't dry too quickly and stays wet enough to be scraped/etched into. Since the photo paper is more expensive, I used to practice on regular poster board or construction paper!