I believe the concept is simple and straightforward enough that a step-by-step Instructable is not necessary. You take a pan of brownies, cut out the bases for each piece, and then decorate them to resemble chess pieces. If you wanted, you could also bake the brownies in a mini-muffin tin, or (as an extreme shortcut) pick up a box of "two-bite brownies" from the supermarket bakery and go to town on them.
I think the notes I've put in the pictures will explain what I did well enough that you can follow along, and I expect that fellow creative souls will comment with their own ideas of how to decorate a given chess piece. Please, however, *do* note some noteworthy but generic lessons I learned in the process of making these:
* If you do bake your own brownies, remember that you will require 32 bases. I improvised a circle cutter that was about 1.5" in diameter, and a 13x9x2 pan of brownies did NOT give me enough pieces. This is one reason why there is no "final photo" of a complete chess set! I believe that if I'd obtained and used a mini-muffin tin to hold the brownies, I'd have had enough mix to do it. Alternately, you could just bake two pans of brownies - or a batch of brownies and batch of "blondies".
* I frosted the "black" pieces with dark chocolate FROSTING, and the "white" pieces with white ICING because that's what I had to hand (see picture #2). I found that the icing did a better job of holding the decorations on to the brownie bases, but the frosting tasted better when I licked my fingers (bad chef!). Black icing can also be hard to find in months that are not October.
* The horse heads for the knights are made from coated pretzels that were (more or less) carefully cut into shape. It took me four chocolate pretzels to make ONE black knight I was happy with, and five yogurt pretzels to make ONE white knight. Lesson learned: have plenty of extras! (This is the other reason there is no finished chess set to show you - I only bought six of each pretzel out of the bulk bin at my supermarket.)