I made this model in sketchup following instructions found in the video http://mathforum.org/sketchup/videos.html. Bonnie Roskes (of 3DVinci) made this video, and has many other excellent sketchup tutorials on the site: http://mathforum.org/sketchup/index.html.

There is a nice page for this shape on Wikipedia as well: http://en.wikipedia.org/wiki/Stellated_octahedron

In addition to following Bonnie's instructions, I had to remove the internal polygons that form the octagon in order to create a clean STL file. When I skipped this step, I ended up with a model with a hollow center - interesting, but risky to build.