Square or any other shape you like. I know turned ones are the standard but can also be a bit boring. I got a replica set of the Lewis figures and after that turned ones look a bit ho hum. Made a Tafil board a couple of years ago and realised round pieces would not look right for an old viking board game. Got stuck in with rasp.
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Regards
John
PS. Should have mentioned I do have a lathe and am keen on turning but its not always the look for everything. Besides her indoors would be saying dont we have the house full enough with turned stuff already.