I printed this lovely puzzle by Frank Worrell, called "Cubed" (http://www.asahi-net.or.jp/~rh5k-isn/Puzzle/555/Cubed/). The site where the design was taken from is a gold mine of interlocking and put-together puzzles, and it allows reproducing the puzzles for personal use.
The assembled puzzle, beautifully elegant in its simplicity. The side is 3cm:
The puzzle works perfectly, neither too tight nor too loose. After 13 moves, the first piece is about to come out: