Here is a site for obtaining chocolate chess molds. Once on the page go to the upper right hand corner and type in chess candy mold in Search.

  confectioneryhouse.com 

... and then what?

I'll bite ... mayhap one bakes a cake...

http://seantobin2010.wordpress.com/2010/01/24/best-chess-cake-in-the-universe/

 Fantastic

Fantastic cake!

I'm awaiting Conquistador's reply

What would you make the white pieces out of, other than white chocolate or fondue? I hate em.

Wax?

http://www.craftcave.com/candle/lstauntonset.shtml

sand

In order to keep it an honest cake, they would have to be edible. 

almond paste

I truly enjoy viewing these many different chocolate chess sets.   Thanks.