Making of Missing Piece

Well, one piece is ready! Repeat these steps and create another one...

Then again, again, again, again, again, again, again, again, again, again, again, again, again, again and again :-)

Use hard black brush (B) to draw hands, legs and eyes.

In new layer (behind brush layer), draw white eyes content with white brush. Apply some Drop shadow to it (blend mode=soft light).

Repeat for all pieces!

Shadows are very important in this wallpapers - they give convincing 3D look, without need of any 3D software. Switch to black soft brush, set brush opacity to 30-40%, and sketch the shadow.