Cut yourself a cube. I did this with a table saw sled and a stopper block. Once you have the distance you want set, you can simply rotate the wood around until you've cut it down to the right size on all three axes.
For the holes you'll again want to set up some stopper blocks. Find the center of one side of the cube and center it perfectly under your drill press, then fix two pieces of wood to form a corner that you can true it up against. Now drill through from all sides. It might be best to go through each side rather than through the entire cube in order to minimize any tear-out.
The big question here is what size the drill bit should be. There's some fun geometry involved that you can read about in my blog entry about this project here
, but all you really need to know is that the drill needs to be at least 71%, or [1/sqrt(2)] the diameter of the marble. This is the size ratio at which the marble will be touching the corners of the intersecting tubes. If you want your marble to rattle around a bit, try something like 80-90% of the marble's diameter. I went with 73% because I didn't have any bigger drill bits on hand. My marble can be rotated, but doesn't rattle.