Roll out your dough large enough to fit the entire cutter.
Press your cutter very firmly into the dough.
I rolled my rolling pin over it a few times to make sure I got all the way though. The cutter edge is quite blunt (this design is international, to create a small space between each cutter piece.
Before lifting your cutter, remove all the excess dough from around the perimeter of the cutter. Now, gently lift the cutter and use your finger to help push the pieces through.
After removing your cutter, you'll see that the thick cutting edge of the multi-cutter has created negative-space buffer between each individual puzzle piece.
Because of the negative-space buffer created by the cutter, you can bake your puzzle without separating the pieces from one another, and it still won't seal together!
But if you'd prefer to separate each piece before baking, feel free to!
I had great results after baking all the pieces separately, as well as all together, and the puzzle worked perfectly in both cases.