An oloid is the convex hull of two congruent circles in perpendicular planes, where each circle passes through the center of the other. 

It rolls in a wobbly but smooth motion, maintaining constant contact with the ground.

The models that I found on MakerWorld either require support or have a weird parting line. 

By alligning the parting line with the sharp edge it fades away. Also I activated fuzzy skin and random seams to make the seam less visible.

The two parts attach with the dovetail connector - no glue needed (at least with the fuzzy scin activated):