I tried cutting some of these elephants. These are 4", 3.5", and 3" tall cut in 1" birch, 3/4" rock maple, and 1" poplar using an FDUR#9 blade. Colored with watercolor paint.
The poplar was the easiest to cut. The maple hardest to get a square cut so the pieces would slide from only one direction, but jam in the other direction.
The curves around the trunks in the center are the hardest to get square. They all stuck, but the poplar was the least. You can find the interferences by sliding in each direction. In all cases the piece would slide apart in one direction but get stuck in the other direction. These curves are too tight to get a file or sandpaper into it. I found that a bigger spiral blade (I used a #5) in the scroll saw works well as a very small file and can be used to remove the interferences so all pieces can be inserted and removed from either direction. There are scroll saw sandpaper "blades" that should also work but I've never tried them.
The watercolor doesn't interfere with the space between pieces - it soaks in more like a dye than a paint - but it leaves a dry feeling, high-friction finish (sort of like a flat wall paint). On the 4" elephant I used Johnson's Paste Wax on top of the watercolor - it makes a smoother finish that feels more like a toy and still does not interfere with the fit.