I quickly threw together the parts for Stewart Coffin's four piece pyramid design. It consists of four non-congruent pieces made of five rhombic dodecahedrons each. There is only one solution and one assembly sequence that will produce it. It's a far more difficult puzzle than its low parts count would suggest.
I did not add any offsets to the design, and as a consequence, parts do not slide as smoothly as I would like. I've included the files for the rhombic dodecahedron I used (including a parametric version if one wants to explore using forms with beveled points) in case anyone wants to play around with it further or attempt to make parts by welding individual rhombic dodecahedrons together.
Included STL files are scaled for the smaller puzzle depicted. The larger one is simply each parts scaled at 150% in Slic3r. Supports are required for all parts.