Have you formally trained her on Leave It / Drop It? It sounds like she is having a grand old time, first with the paper, and then with you chasing her around the house.
Thor loves kleenex, especially if it's used. If he gets bored, the waste basket is the first place he looks.
If you haven't already, train her to Drop It / Leave It with a less valued item, and then work your way up to paper. Treat this like any other trick and reward her for performing the command correctly. If in a real life situation she runs away, try to slowly walk after her. When you reach her, sternly tell her NO and then give her a real time out, not an optional one - put her in the bathroom for a few minutes, or put her on a short leash and walk her around the house with you.
As always, an ounce of prevention is usually worth a pound of cure.
