I recommend printing at a resolution below 200 micron, but I have not tried any lower resolutions. The clearances between each part is between .4-.5 mm. No support is required. Both were printed at 140 micron (0.14 mm) or 200 micron (0.2 mm) with no support on a Zortrax M200 in Android Green Z-ABS.
UPDATE: I have uploaded a version of INTERLOCKED4 with more clearance. You can probably tell which one by the title.
No support is required. I recommend a high infill to give the toy some weight.