Back when I used to write for Model Engineer I wrote up how to make one of these. Mine was done on a shaper since these are a good machine for doing dovetails without fancy dovetail cutters. The usual approach is the two dovetails at 45 degrees to the faces. You can also make them by setting up each block with one corner along the axis of the lathe and making the dovetails on each part as a quarter circle, then as Robert described above they twist in together. Either way the work wants to be accurate and close fitting, or else it becomes easy to see how it works.
I first saw this idea as a woodworking exercise in either Popular Science of Practical Mechanics back in the late fifties or early sixties, but would assume it is much older than that.
John