Ray, if you use sanding sealer, sand the woos, then paint, the paint come out smoother. But, you don't have to do that. On a few kid puzzles I painted the wood, then "sanded" with a piece of cardboard, then applied a few coats of poly.
My boy is working for a local Ace Hardware. He asked if I'd make some ornaments he could give the employees. This seems fitting. I did the same thing when my wife worked there about 8 years ago.
Guy, check the front to back alignment. Some saws (like my old Delta P-20) are designed for a more aggressive cut and the blade is tilted slightly forward at the top.
I had the same issue and it drove me nuts. I ended up putting shims where the saw table mounts to the saw frame. It now cuts very well and my puzzle pieces fit great.
Like most have said, do something to hide the edges and glue up. I've glued similar projects more than 10 years ago and they are holding up fine. I like John's suggestion of using walnut on the corners and cutting grooves for the panels to slide into. LED builds are the way to go.
I was getting it from Midwest products but found it cheaper here http://m.aircraftspruce.com/catalog/wppages/finnishbirch.php. This is aircraft grade and is good quality.
I have tries making out of veneer but found the cost a bit more than I wanted to spend. If you search the internet you can probably find it more affordable than Woodcraft. The neat thing about making it yourself is you could use maple on one side and walnut on the other for a more unique look.
Hey Dan, you can use 1/32" BB plywood. I've sold a lot of them because you can stack about 10, cut them fast, and sell them cheap. I sometimes will dye the wood to vary the color. If you make them out of solid wood I'd make them 1/16" so they hold up better.
Good luck and post some pics.
I would rather darken the wood. I'd be afraid any pigment in the wax finish could stain fingers and clothes. I'm just taking a crack at this but maybe someone with experience has a better or different answer. Of course, you could always try it and give us feedback.