I create the Rook chess piece for my chess set and because I had lost some of the pieces from my old chess set. I also wanted to minimize the effort and resources and implement a complete chess set of my own.

Supplies

Printer
A4 sheet to print on, this can be hard sheet or soft sheet.
Reference image as attached.
Pair of scissors.
Glue/ Stapler.

Step 1: Print the Reference Image

Printout the reference image using printer.
Adjust the dimensions as per requirement.
Make sure all pieces have the same width.
Print on white or black sheet of paper as requirement.
Cutout the image and a small rectangular blank piece of paper with the same height and width same as that of twice the width of a single frame in the image. This is the attachment to connect the two ends of the 3D model.

Step 2: Fold Along the Lines As Per Red and Blue

As per reference to image, fold the bottom blue line (horizontal) as valley fold.
Fold all other blue lines as mountain fold.
Fold all red lines as valley fold.
Try to make the shape as per image attached.

Step 3: Attach the Two Ends to Make a 3D Model

Using the strip of paper, attach the two ends of paper to make a 3D shape.
I have used staple pins to attach them.

Step 4: Re-Fold As 3D Model

Re-fold all the lines as a 3D model.
Try to rotate the shape as you fold the lines, to create curve shape.
Start with base which is flat and easy and then proceed to the head of the Rook.