Another variant on the FlatRoll column idea... this time with locking tabs.

Can't be 100% certain until someone actually tries to print one, but I think this should print out just fine (if I didn't forget an overhang of greater than 45 degrees somewhere), and the locking tabs should lock nice and firm.

The thickness of the underside is easily adjusted in Sketchup, and the precise value to use depends on how thin a single layer in Skeinforge is... a number I currently do not know.

Print this out with the right underside thickness for a single layer of material, or directly onto a sheet of flexible plastic that the material will bond to.

Fold as per the screenshots from Sketchup, engaging the locking tabs at each step.

EDIT: Actually, I think it would work better if you fold from either end, leaving the last set of locking tabs to engage in the middle... otherwise, you might not be able to get that last section to fold in past the edge of its neighbor. I've added some screenshots that show this would, indeed work.