Beginner's puzzle - can't create shells

[harrison.friedes]

To create a puzzle I want to turn each segment into a shell to serve as the puzzle piece holder.

Many segments will extrude fine but then select grouped with other extrusions when I want to make a shell out of it. Other segments won't turn into .5mm shell when they seem plenty large and simple enough to do so.

Help is much appreciated.

Graphic here: 

[jeff_strater]

This looks like a duplicate of:  creating-shells-to-make-puzzle.  @TrippyLighting has provided some insight into your problems on that other thread.