Fractigami
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Before you can begin constructing a complex shape such as a Menger Sponge, you must first know how to create an interlocking Sonobe Unit.
Sonobe Folding Diagram
Image from www.math.lsu.edu: Folding Diagram for a Sonobe Unit

On the final diagram, there are triangular tabs above and below the main body of the unit. There are two flaps on the main body of the unit, into which the tabs from two other Sonobe Units may be inserted:
Sonobe Unit with folded tabs
Original Image, click to view correct size: Sonobe Unit with folded tabs

The sequence of images below demonstrates how to create a cube using six Sonobe Units:
1 unit 2 units 3 units 4 units 5 units 6 units
Original Images, click to view correct size: How 6 Sonobe Units can be used to form a cube

Using more Sonobe Units, it is possible to create a range of different shapes.