Model originally uploaded to Thingiverse at https://www.thingiverse.com/thing:3959090.
This version rendered in puzzlecad (thanks, Aaron Siegel!) provides two benefits. First, the pieces have been split into printable sub-parts that need no support material. Each of the 3 STL files contains all the parts for one puzzle piece. Second, the edges now have a 1 mm bevel which means no clean up should be needed.
Note that there is zero offset tolerance for the connecting pegs and holes, so they will be a tight fit. Use a clean, smooth vice, or light taps with a hammer to assemble the pieces. I did not need to use any glue at all.
I strongly advise printing with at least 3 perimeters to give the joints enough strength.
PLEASE REFER TO THE SHAPES OF DAVID’S ORIGINAL MODEL FILES TO CHECK HOW TO CORRECTLY ASSEMBLE EACH PIECE.