OK - newbie-ish author here, so take with a grain of salt and watch for others with better ideas -
A few steps.
1 - create your basic puzzle shape. A few points, a little pushing/pulling.
2 - duplicate the original shape (blue)
2A duplicate THAT shape, enlarge it about 10-15% (orange)
2B subtract the slightly larger shape from the original
3 - duplicate the original shape again, change it to red
4. Duplicate the red shape, enlarge it about 10-15% (teal)
4A subtract the larger from the original
5. Duplicate the red shape, change it to green
6. Create a blend of each shape by duplicating the "top" to make a "bottom," sending it behind the "top" and offsetting it down and to the left.
6A duplicate the "top" again and set it aside for use in Step 7
6B change the "bottom" to black
6C for the blend, select from the bottom to the top - my blend below is 50 steps
6D tweak the blend attributes to make the "sides" considerably darker
7. For each shape, create a "topper" from the dupe you set aside in Step 6A.
8. Create an inner bevel on the topper and place it on top of the blend.
The topper makes it possible to create an assembled puzzle (2nd thumbnail). Otherwise, you get a strange puzzle because the blends won't simulate 3D. (3rd thumbnail)
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