Over the last few months I've been developing a construction technique for my entry in a design competition. I can't share the actual design itself, sadly, but I can share the process. So I did the whole thing again, this time with a couple polyhedral dice models.
First, a tessellated shape is created in a 3D design tool such as Blender. This is exported and opened in Pepakura, which takes 3D models and "unfolds" them so they can be printed and cut out as papercraft. Instead of paper, however, we're going to get it waterjet cut out of 14 gauge steel sheet -- including the score lines to get it to bend into shape properly. Then we'll weld it together, grind it up all pretty like, and do a surface treatment.
I did my designs in Blender, though any 3D design tool could be used as long as it can export STL files. Because we're working with steel sheet, the shape needs to be made entirely of flat surfaces -- it should be tessellated like something in an early 3D game.
The final object will be slightly larger than the shape you designed. Following this process, we basically wrap the design in steel, so the final product ends up being larger by twice the thickness of the metal you end up using. On more complex designs, this can be important to remember, particularly if you have to 3D print jigs to help with assembly.
Once you are satisfied with the design, export it as an STL and import it into Pepakura Designer. (The free Pepakura Viewer won't work, I'm afraid.) Unfold it, turn off tabs, and export the result as a DXF. There are a lot of guides for Pepakura, so I won't get into the details here. If your design has to be split into smaller pieces, you'll probably want to make sure they are symmetrical. which Pepakura won't do by default. Sometimes Pepakura will add cut lines in weird places, due to the model having faces that are even slightly non-planar. I usually find it easier to fix that in the DXF afterwards with a tool such as LibreCAD, rather than fight with Blender and Pepakura.
I've attached all the files used for the dice as an example, both the original objects in Blender and the final, cleaned up DXF files.
Some general guidelines I've learned after many rounds of testing: