I saw this cool Spherical Burr Puzzle design by trinityscsp (https://grabcad.com/trinityscsp) at GrabCAD (https://grabcad.com/library/wheel-puzzle-wooden-toy-1) and wanted to print it.
The problem was that the original CAD files contained perfect geometry and had no slack for the parts to move. In order to make it printable I applied a negative surface displace of 0.2mm to every part using Blender.
The prints in the photos are in PLA with 0.3mm quality and 20% infill. The pieces fit and slide well, and the puzzle holds together properly once finished.
Enjoy and give all the credit to trinityscsp!