Hey Danny, I learned the hard way that spraying even a light coat of polly in beween puzzle pieces adds just enough thickness to keep the pieces from sliding easily. (and it's a b**** to sand back off!) I found Howards Feed-N-Wax and use it for lots of things. I always use it for thick puzzle pieces. After I have finished the rest of the finish, ie. paint and spray the surface, I then put a liberal coat of Howards in between the pieces and let them sit about 20 minutes. Then wipe it off. It makes them slide soooo easy and brings out the grain in the wood. I also use it for the sides of drawers in boxes and anything I want to slide or come apart easy. You can use it on bare wood or finished. It will make the grain pop on bare wood but, over time, you have to reapply. I usually finish my pieces and then "polish" them with the Howards.
Howards is a combination of beeswax, carauba wax and orange oil. It smells good and will enhance any finish you desire. I've bought it in just about every hardware store (paint department) around. I also use it on my furniture periodically to deep clean and bring out the grains in my woods.