Print settings:

Print at 0,2mm layer height

15 % infill

Turn on supports the same way it is shown in the following picture:

Which parts to print:

Print one of the parts with no pins and start by connecting parts to it. You can connect as many parts as you want.

Assembly:

The parts are easily connectable. The assembly is simple. Insert the pins on one of the objects into the other object. Then push it until the two parts are aligned. The process is also explained in the following picture:

Do not apply force on the model, assembling it as the pins may break. Also, note that it is a bit difficult to disassemble this model.

Changelog 

V1 - The upload. Added 6 models.