I came across theininen's Fidget Widget on Thingiverse. I printed one out but found that I prefer smoother edges on the piece. So I recreated it in SolidWorks based on the original STL.
I saw that people are asking for an integrated version in the original post, so I created one with some modification to the pieces to minimize overhangs. You will still need to use raft and support to print it. Print it slow and with adequate cooling for better result.
Due to the exporting from Solidworks, you will need to rotate the STL 90 degrees to print.
p.s. Sorry that everything is black, I was too lazy to switch filament.
Feb 2017: Added STL files with different tolerances and the Solidworks files.
Depending on your printer tolerance, you may need to sand down the surface or the hole to make a better fit.